Moments of the Arma-Egarch Model

57 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

GARCH Modelling of Cryptocurrencies (2017, unknown): “…1) model; Nelson (1990) (Theorem 6, p. 326, 1990) for the SGARCH (1, 1) and IGARCH (1, 1) models; Zakoian (1994) (Proposition 7, 1994) for the TGARCH (1, 1) model; Karanasos and Kim (2003) (Theorem 1, pp. 149–150, 2003) and Francq and Zakoian (2010) (Theorem 10.2, 2010) for the EGARCH (1, 1) model.”
Modelling and Forecasting of Price Volatility: An Application of GARCH and EGARCH Models (2015, unknown): “Karanasos and Kim (2003) have carried out a detailed analysis of moment’s structure of the ARMA-EGARCH model, while Kobayashi and Shi (2005) have studied the testing for EGARCH against stochastic volatility models.”
LARCH, leverage and long memory (2003, methodology): “17) (see Lee and Hansen (1994), Lumsdaine (1996)), it would be expected to be asymptotically normal and (if the Gaussianity holds) efficient, without stringent assumptions on unconditional moments of Xt, though the asymptotic theory would likely be difficult. A less elegant asymptotic theory should ”