Moments of the ARMA–EGARCH model

DOI10.1111/1368-423X.00104zbMath1032.62085OpenAlexW3124980684MaRDI QIDQ4439303

Jinki Kim, Menelaos Karanasos

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1111/1368-423x.00104

zbMATH Keywords

autocorrelationsstock returnsexponential GARCH

Mathematics Subject Classification ID

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

Related Items (4)

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 and dynamic structure of a time‐varying parameter stochastic volatility in mean model ⋮ Accurate value-at-risk forecasting based on the normal-GARCH model

Cites Work

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• The second moment and the autocovariance function of the squared errors of the GARCH model
• Modeling volatility persistence of speculative returns: a new approach
• Prediction in ARMA Models with GARCH in Mean Effects
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• NECESSARY AND SUFFICIENT CONDITIONS FOR THE REPRESENTABILITY OF A POSITIVE HOMOGENEOUS FUNCTION OF THREE VARIABLES IN THE FORM OF A DIFFERENCE OF CONVEX FUNCTIONS
• Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• Analysis of the correlation structure of square time series
• MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS

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