Exponential-Type GARCH Models With Linear-in-Variance Risk Premium-Reference-Cited by-同舟云学术

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Exponential-Type GARCH Models With Linear-in-Variance Risk Premium

Published:2019-12-23 Issue:2 Volume:39 Page:589-603
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Hafner Christian M.¹,Kyriakopoulou Dimitra²

Affiliation:

1. Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), Université Catholique de Louvain, Louvain-la-Neuve, Belgium

2. Center for Operations Research and Econometrics (CORE), Université Catholique de Louvain, Louvain-la-Neuve, Belgium

Funder

MOVE-IN Louvain Post-doctoral Fellowship, co-funded by the Marie-Curie Actions of the European Commission

Marie Curie Actions of the European Commission

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2019.1691564

Reference40 articles.

1. ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

2. Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

3. Kalman Filtering with Random Coefficients and Contractions

4. Volatility persistence and stock valuations: Some empirical evidence using garch

5. Semiparametric inference in a GARCH-in-mean model

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