Doubly stochastic models with GARCH innovations

DOI10.1016/J.AML.2011.04.020zbMath1229.91363OpenAlexW1975567177MaRDI QIDQ654181

S. S. Appadoo, A. Thavaneswaran, M. Shelton Peiris

Publication date: 28 December 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.04.020

zbMATH Keywords

momentskurtosisGARCH modelsdoubly stochastic models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Stationary stochastic processes (60G10)

Cites Work

• RCA models with GARCH innovations
• Random coefficient autoregressive models: an introduction
• A nonlinear time series model and estimation of missing observations
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Random coefficient autoregression, regime switching and long memory

This page was built for publication: Doubly stochastic models with GARCH innovations