Li, Wai Keung (contributor); Ling, Shiqing (contributor); … - 2001 - [Elektronische Ressource]
This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is … directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for … stationary and nonstationary ARMA-GARCH are summarized. Various new ARCH-type models, including double threshold ARCH and GARCH …