| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1710526 | Applied Mathematics Letters | 2007 | 6 Pages |
Abstract
This paper considers a class of volatility models generated by autoregressive (AR) type models with indices. Some results associated with the autocorrelation function (acf) of this class are given and the spectral density is obtained in terms of the kurtosis of the error distribution and model parameters.
Keywords
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
S. Peiris, A. Thavaneswaran,