Doubly stochastic models with GARCH innovations

被引：2
|
作者：
Peiris, S. [1 ]
Thavaneswaran, A. [2 ]
Appadoo, S. [2 ]
机构：
[1] Univ Sydney, Sydney, NSW 2006, Australia
[2] Univ Manitoba, Winnipeg, MB R3T 2N2, Canada
来源：
APPLIED MATHEMATICS LETTERS | 2011年 / 24卷 / 11期
关键词：
Moments; Kurtosis; Doubly stochastic models; GARCH models;
D O I：
10.1016/j.aml.2011.04.020
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A rapid development of time series models and methods addressing volatility in computational finance and econometrics are recently reported in the financial literature. This paper considers doubly stochastic volatility models with GARCH errors. General properties for process mean, variance and kurtosis are derived as these results can be used in model identification. Crown Copyright (C) 2011 Published by Elsevier Ltd. All rights reserved.
引用
收藏
页码：1768 / 1773
页数：6
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