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Recent Theoretical Results for Time Series Models with GARCH Errors (2002)

Li, W. K. ; Ling, Shiqing ; McAleer, Michael

Oxford, UK and Boston, USA : Blackwell Publishers Ltd

Journal of economic surveys 16 (2002), S. 0

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ISSN: 1467-6419

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA–GARCH are summarized. Various new ARCH–type models, including double threshold ARCH and GARCH, ARFIMA–GARCH, CHARMA and vector ARMA–GARCH, are also reviewed.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/1467-6419.00169

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