Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model

DOI10.1080/07474938.2014.966639zbMath1491.62147OpenAlexW2162484180MaRDI QIDQ5864358

Sofia Anyfantaki, Antonis Demos

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.966639

zbMATH Keywords

Markov chain Monte CarloBayesian inferencesimulated EM algorithmdynamic heteroskedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (3)

Market price of risk estimation: Does distribution matter? ⋮ The time-varying GARCH-in-mean model ⋮ On the invertibility of EGARCH(p, q)

Cites Work

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• Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Identification, estimation and testing of conditionally heteroskedastic factor models

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