Doubly stochastic models with GARCH innovations-Reference-Cited by-同舟云学术

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Doubly stochastic models with GARCH innovations

Published:2011-11 Issue:11 Volume:24 Page:1768-1773
ISSN:0893-9659
Container-title:Applied Mathematics Letters
language:en
Short-container-title:Applied Mathematics Letters

Author:

Peiris S.,Thavaneswaran A.,Appadoo S.

Publisher

Elsevier BV

Subject

Applied Mathematics

Reference7 articles.

1. Random Coefficient Autoregressive Models: An Introduction;Nicholls,1982

2. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation;Engle;Econometrica,1982

3. Semiparametric ARCH models;Engle;Journal of Business and Economics Statistics,1991

4. Generalized autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrics,1986

5. RCA models with GARCH innovations;Thavaneswaran;Applied Mathematics Letters,2009

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