Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model

DOI10.1111/1368-423X.t01-1-00087zbMath1018.62094MaRDI QIDQ4416012

Antonis Demos

Publication date: 7 August 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

financial time seriestime-varying parameterstochastic volatility in meanexponential GARCH in mean

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 (7)

Bond yields and debt supply: new evidence through the lens of a preferred-habitat model ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect ⋮ Analysis of the correlation structure of square time series ⋮ Moments of the ARMA–EGARCH model ⋮ Data cloning estimation for asymmetric stochastic volatility models ⋮ Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model

Cites Work

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• Estimation of stochastic volatility models with diagnostics
• Generalized autoregressive conditional heteroscedasticity
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• Moments of the ARMA–EGARCH model
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS

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