On the tvGARCH(1,1) model: existence, CLT, and tail index
type: Item
instance of: scholarly article
title: On the tvGARCH(1,1) model: existence, CLT, and tail index
zbMATH Open document ID: 1416.62474
author: D. Ambroževičiūtẹ
author: A. Klivečka
published in: Lithuanian Mathematical Journal
publication date: 2008-09-24T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5346526
zbMATH Keywords: GARCH(1,1) model
zbMATH Keywords: \(L^p\) bounded solution
MaRDI profile type: Publication
full work available at URL: s10986-008-0001-x
OpenAlex ID: W2073614925
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cites work: \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails
cites work: ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
cites work: Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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DOI: 10.1007/S10986-008-0001-X
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description: scientific article; zbMATH DE number 5346526