【作者(必填)】
S Arvanitis…
【文题(必填)】
Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models

【年份(必填)】2004

【全文链接或数据库名称(选填)】
Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean ModelsS Arvanitis… - Journal of Time Series Analysis, 2004 - Wiley Online Library
Abstract. In this paper we consider the time series dependence, stationarity, and higher
moments issues of a family of first-order conditionally heteroskedastic in mean models with a
possibly time-varying mean parameter. The interest in these models lies in the fact that ...
被引用次数：9 - 相关文章 - 所有 8 个版本