Name
Abstract | ||
|---|---|---|
This paper considers a class of volatility models generated by autoregressive (AR) type models with indices. Some results associated with the autocorrelation function (acf) of this class are given and the spectral density is obtained in terms of the kurtosis of the error distribution and model parameters. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1016/j.aml.2006.04.001 | Applied Mathematics Letters |
Keywords | Field | DocType |
Time series,Frequency,Spectrum,Autoregression,Correlation,Index,Moving average,Kurtosis,Moments,ARCH,GARCH | Econometrics,Autoregressive model,Spectral density,Forward volatility,Autoregressive conditional heteroskedasticity,Moving average,Volatility (finance),Kurtosis,Mathematics,Autocorrelation | Journal |
Volume | Issue | ISSN |
20 | 2 | 0893-9659 |
Citations | PageRank | References |
1 | 0.48 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| M. Shelton Peiris | 1 | 1 | 1.16 |
| A. Thavaneswaran | 2 | 130 | 21.94 |