RCA model with quadratic GARCH innovation distribution

Applied Mathematics Letters

Volumn 25, Issue 10, 2012, Pages 1452-1457

  Appadoo, S S ^a   Thavaneswaran, A ^a   Mandal, S ^a  

^a UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Fat tailed innovation distribution; GARCH model; Kurtosis; Random coefficient autoregressive model; Variance

Indexed keywords

FAT TAILED INNOVATION DISTRIBUTION; GARCH MODELS; KURTOSIS; RANDOM COEFFICIENT AUTOREGRESSIVE MODELS; VARIANCE;

MATHEMATICAL TECHNIQUES;

HIGHER ORDER STATISTICS;

EID: 84862982204     PISSN: 08939659     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.aml.2011.12.023     Document Type: Article

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