On the tvGARCH(1,1) model: existence, CLT, and tail index

DOI10.1007/s10986-008-0001-xzbMath1416.62474OpenAlexW2073614925MaRDI QIDQ946794

D. Ambroževičiūtẹ, A. Klivečka

Publication date: 24 September 2008

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-008-0001-x

zbMATH Keywords

\(L^p\) bounded solutionGARCH(1,1) model

Mathematics Subject Classification ID

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

Cites Work

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• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

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