Articles with "functional arch" as a keyword



Photo by tamiminaser from unsplash

Functional ARCH and GARCH models: A Yule-Walker approach

Sign Up to like & get
recommendations!
Published in 2020 at "Electronic Journal of Statistics"

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