Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
We consider the parameter restrictions that need to be imposed to ensure that the conditional variance process of a GARCH(p,q) model remains nonnegative. Previously, Nelson and Cao (1992, "Journal of ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure convergence of ARCH(1) and GARCH(1, 1) discrete-time models, to suggest an extension of the ARCH and ...
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