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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…
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Keywords:
yule walker;
arch;
arch garch;
functional arch ... See more keywords