title: Asymptotics for parametric GARCH-in-Mean Models creator: Conrad, Christian creator: Mammen , Enno subject: 330 subject: 330 Economics description: In this paper we develop an asymptotic theory for the parametric GARCH-in-Mean model. The asymptotics is based on a study of the volatility as a process of the model parameters. The proof makes use of stochastic recurrence equations for this random function and uses exponential inequalities to localize the problem. Our results show why the asymptotics for this speciļ¬cation is quite complex although it is a rather standard parametric model. Nevertheless, our theory does not yet treat all standard speciļ¬cations of the mean function. date: 2015-01 type: Working paper type: info:eu-repo/semantics/workingPaper type: NonPeerReviewed format: application/pdf identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/18010/1/Conrad_Mammen_2015_dp579.pdf identifier: DOI:10.11588/heidok.00018010 identifier: urn:nbn:de:bsz:16-heidok-180103 identifier: Conrad, Christian ; Mammen , Enno (2015) Asymptotics for parametric GARCH-in-Mean Models. [Working paper] relation: https://archiv.ub.uni-heidelberg.de/volltextserver/18010/ rights: info:eu-repo/semantics/openAccess rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html language: eng