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Doubly stochastic models with GARCH innovations

✍ Scribed by S. Peiris; A. Thavaneswaran; S. Appadoo

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
225 KB
Volume
24
Category
Article
ISSN
0893-9659

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✦ Synopsis

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.

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