Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary

DOI10.2202/1941-1928.1093zbMath1266.91066OpenAlexW3125484708MaRDI QIDQ4928538

Christian M. Dahl, Emma M. Iglesias

Publication date: 14 June 2013

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

Full work available at URL: https://doi.org/10.2202/1941-1928.1093

zbMATH Keywords

asymptotic propertiesquasi-maximum likelihoodGARCH-M modelvolatility-return relation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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