DOUBLY STOCHASTIC MODELS WITH ASYMMETRIC GARCH ERRORS

被引：0

作者：

Sheraz, Muhammad ^{[1
]}

机构：

[1] Univ Bucharest, Fac Math & Comp Sci, Bucharest, Romania

来源：

PROCEEDINGS OF THE ROMANIAN ACADEMY SERIES A-MATHEMATICS PHYSICS TECHNICAL SCIENCES INFORMATION SCIENCE | 2014年 / 15卷 / 02期

关键词：

GARCH processes; AGARCH-(I)-(0,1); doubly stochastic time series; RCA(1); RCA-MA(1); Sign-RCA-MA(1);

D O I：

暂无

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

The methods addressing volatility in computational finance and econometrics have been recently reported in financial literature. Recently Peiris et al. [8] have introduced doubly stochastic volatility models with GARCH innovations. Random coefficient autoregressive sequences are special case of doubly stochastic time series. In this paper, we consider doubly stochastic stationary time series with asymmetric GARCH errors. Some general properties of process, like variance and kurtosis are derived.

引用

页码：107 / 114

页数：8

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