On the Transmission of Memory in Garch‐in‐Mean Models

DOI10.1111/jtsa.12119zbMath1329.62375OpenAlexW1605024322MaRDI QIDQ3192402

Christian Conrad, Menelaos Karanasos

Publication date: 12 October 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12119

zbMATH Keywords

persistenceunit root testsGARCH-in-meanconditional heteroscedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items

Asymptotics for parametric GARCH-in-mean models ⋮ Appraisal of excess Kurtosis through outlier-modified GARCH-type models

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