• Title of article

    Doubly stochastic models with GARCH innovations

  • Author/Authors

    Peiris، نويسنده , , S. and Thavaneswaran، نويسنده , , A. and Appadoo، نويسنده , , S.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2011
  • Pages
    6
  • From page
    1768
  • To page
    1773
  • Abstract
    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.
  • Keywords
    Doubly stochastic models , Moments , kurtosis , GARCH models
  • Journal title
    Applied Mathematics Letters
  • Serial Year
    2011
  • Journal title
    Applied Mathematics Letters
  • Record number

    1528063

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1528063