ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is ...
In this paper, we have two asymptotic objectives: the LAN and the residual empirical process for a class of ARCH(∞)−SM (stochastic mean) models, which covers finite-order ARCH and GARCH models. First, ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
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