Comparison Results for GARCH Processes

DOI10.1239/jap/1409932667zbMath1311.60024arXiv1204.3786OpenAlexW1837092542MaRDI QIDQ2923429

Franco Pellerey, Carlo Sgarra, Fabio Bellini, Salimeh Yasaei Sekeh

Publication date: 15 October 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.3786

zbMATH Keywords

supermodularitykurtosisstochastic orderingspeakednessGARCH processesmultivariate convex order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70)

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