Missing mean does no harm to volatility!

DOI10.1016/j.econlet.2015.06.011zbMath1364.62273OpenAlexW1917146573MaRDI QIDQ529817

Irina Tarasyuk, Stanislav Anatolyev

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.06.011

zbMATH Keywords

ARCHmisspecificationfinancial returns

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

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• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• ESTIMATING WEAK GARCH REPRESENTATIONS
• Temporal Aggregation of Garch Processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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