Random coefficient GARCH models

Mathematical and Computer Modelling

Volumn 41, Issue 6-7, 2005, Pages 723-733

  Thavaneswaran, A ^a   Appadoo, S S ^a   Samanta, M ^a  

^a UNIVERSITY OF MANITOBA   (Canada)

Author keywords

GARCH; Kurtosis; Power GARCH and general GARCH(1,1) model; Stochastic volatility

Indexed keywords

CORRELATION METHODS; DATA REDUCTION; ERROR ANALYSIS; FINANCE; FUNCTIONS; MARKOV PROCESSES;

AUTOCORRELATIONS; CLUSTERING; RANDOM COEFFICIENTS; VOLATILITY;

MATHEMATICAL MODELS;

EID: 23244433550     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mcm.2004.02.032     Document Type: Article

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