Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
Work
Year: 2005
Type: article
Abstract: We study the asymptotic tail behavior of the conditional probability distributions of r t + k and r t +1 +⋯+ r t + k when ( r t ) t ∈ℕ is a GARCH(1, 1) process. As an application, we examine the relat... more
Source: Journal of Applied Probability
Authors Raymond Brummelhuis, Dominique Guégan
Cites: 15
Cited by: 9
Related to: 10
FWCI: 0.322
Citation percentile (by year/subfield): 74.89
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze