Doubly stochastic models with GARCH innovations |
| |
| Authors: | S. Peiris A. Thavaneswaran S. Appadoo |
| |
| Affiliation: | 1. The University of Sydney, Australia;2. The University of Manitoba, Canada |
| |
| Abstract: | A rapid development of time series models and methods addressing volatility in computational finance and econometrics are recently reported in the financial literature. This paper considers doubly stochastic volatility models with GARCH errors. General properties for process mean, variance and kurtosis are derived as these results can be used in model identification. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
