Functional ARCH and GARCH models: A Yule-Walker approach
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DOI: 10.1214/20-ejs1778
Abstract: Conditional heteroskedastic financial time series are commonly modelled by (G)ARCH processes. ARCH$(1)$ and GARCH were recently established in $C[0,1]$ and $L^{2}[0,1]$. This article provides sufficient conditions for the existence of strictly stationary solutions, weak dependence… read more here.
Keywords: yule walker; arch; arch garch; functional arch ... See more keywords