Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models

DOI10.1046/j.0143-9782.2003.01771.xzbMath1052.91072OpenAlexW3124123880MaRDI QIDQ4828167

Stelios Arvanitis, Antonis Demos

Publication date: 24 November 2004

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

Full work available at URL: https://doi.org/10.1046/j.0143-9782.2003.01771.x

zbMATH Keywords

ergodicityautocovariance functionstrict stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items

Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models, Estimation and properties of a time-varying GQARCH(1,1)-M model, Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model, Empirical likelihood inference for functional coefficient ARCH-M model, Statistic inference for a single-index ARCH-M model, Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model

Cites Work

• Unnamed Item
• Unnamed Item
• The autocorrelation structure for the GARCH-M process
• ARCH modeling in finance. A review of the theory and empirical evidence
• Stationarity of GARCH processes and of some nonnegative time series
• Properties of moments of a family of GARCH processes
• The second moment and the autocovariance function of the squared errors of the GARCH model
• Generalized autoregressive conditional heteroscedasticity
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS