The issue of finite-sample inference in Generalised Autoregressive Conditional Heteroskedasticity (GARCH)-like models has seldom been explored in the theoretical literature, although its potential ...
This is a preview. Log in through your library . Abstract The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, ...
In Duan, Gauthier and Simonato (1999), an analytical approximation to price European options in the generalized autoregressive conditional heteroskedastic (GARCH) framework was developed. The formula ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback