The autocorrelation structure for the GARCH-M process

DOI10.1016/0165-1765(91)90120-AzbMath0729.62630OpenAlexW1983121412MaRDI QIDQ806915

Eun Pyo Hong

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90120-a

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Empirical likelihood based estimation for a class of functional coefficient ARCH-M models ⋮ Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models ⋮ Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models ⋮ Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ Empirical likelihood inference for functional coefficient ARCH-M model ⋮ Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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