An introduction to volatility models with indices

DOI10.1016/J.AML.2006.04.001zbMath1104.62113OpenAlexW2112345366MaRDI QIDQ868010

A. Thavaneswaran, M. Shelton Peiris

Publication date: 19 February 2007

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

Full work available at URL: https://doi.org/10.1016/j.aml.2006.04.001

zbMATH Keywords

momentscorrelationfrequencytime seriesspectrumindexARCHkurtosisGARCHautoregressionmoving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ On the vector-valued generalized autoregressive models ⋮ Time Series Properties of the Class of Generalized First-Order Autoregressive Processes with Moving Average Errors ⋮ Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters ⋮ Asymptotic theory for near integrated processes driven by tempered linear processes ⋮ On properties of the second order generalized autoregressive GAR(2) model with index

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Forecasting volatility
• Fractional differencing
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
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