A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter ...

In this paper, we have two asymptotic objectives: the LAN and the residual empirical process for a class of ARCH(∞)−SM (stochastic mean) models, which covers finite-order ARCH and GARCH models. First, ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...