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  • 标题:Asymptotics for parametric GARCH-in-Mean Models
  • 本地全文:下载
  • 作者:Christian Conrad ; Enno Mammen
  • 期刊名称:Discussion Paper Series / Universität Heidelberg, Department of Economics
  • 出版年度:2015
  • 出版社:Universität Heidelberg, Department of Economics
  • 摘要:In this paper we develop an asymptotic theory for the parametric GARCH-in-Mean model. The asymptotics is based on a study of the volatility as a process of the model parameters. The proof makes use of stochastic recurrence equations for this random function and uses exponential inequalities to localize the problem. Our results show why the asymptotics for this specification is quite complex although it is a rather standard parametric model. Nevertheless, our theory does not yet treat all standard specifications of the mean function
  • 关键词:GARCH-in-Mean; stochastic recurrence equations; risk-return relationship
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