| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1708413 | Applied Mathematics Letters | 2011 | 6 Pages |
Abstract
A rapid development of time series models and methods addressing volatility in computational finance and econometrics are recently reported in the financial literature. This paper considers doubly stochastic volatility models with GARCH errors. General properties for process mean, variance and kurtosis are derived as these results can be used in model identification.
Keywords
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
S. Peiris, A. Thavaneswaran, S. Appadoo,