Comparison results for GARCH processes
type: Item
instance of: scholarly article
zbMATH Open document ID: 1311.60024
author: Fabio Bellini
author: Franco Pellerey
author: Carlo Sgarra
author: Salimeh Yasaei Sekeh
published in: Journal of Applied Probability
publication date: 2014-10-15T00:00:00Z
full work available at URL: https://arxiv.org/abs/1204.3786
full work available at URL: https://projecteuclid.org/euclid.jap/1409932667
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6356253
zbMATH Keywords: stochastic orderings
zbMATH Keywords: GARCH processes
zbMATH Keywords: multivariate convex order
zbMATH Keywords: supermodularity
zbMATH Keywords: peakedness
zbMATH Keywords: kurtosis
MaRDI profile type: Publication
OpenAlex ID: W1837092542
arXiv ID: 1204.3786
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DOI: 10.1239/JAP/1409932667
title: Comparison results for GARCH processes
review text: The goal of the paper is to use various notions of stochastic orderings to systematically compare log-returns modelled by GARCH processes. The authors show how, in general, stochastic orderings (such as increasing, convex and increasing convex order) of the i.i.d. innovations extend to the corresponding stochastic orderings of the log-returns. Under an additional hypothesis on the symmetry of the innovations, convex order is also preserved in the more involved case of the sum of log-returns. A multivariate setting as well as stochastic orderings with respect to the parameters of the process are also considered with similar conclusions.
reviewed by: Giovanni Puccetti
description: scientific article; zbMATH DE number 6356253