Listar por tema "GARCH-AR"

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The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressivein- Mean Models

Dahl, Christian M.; Iglesias, Emma (Oxford, 2022)

[Abstract] We extend the results in Borkovec (2000), Basrak, David, and Mikosch (2002a), Lange (2011), and Francq and Zakoı¨an (2015) by describing the tail behavior when a risk premium component is added in the mean ...