I introduce the notion of continuous invertibility on a compact set for volatility models driven by a stochastic recurrence equation. I prove strong consistency of the quasi-maximum likelihood ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

This paper investigates the risk spillover between the crude oil market (West Texas Intermediate and Brent) and the Chinese stock market (Shanghai Stock Exchange) by using the marginal expected ...

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 ...