TY  - GEN
T3  - Discussion Paper Series, University of Heidelberg, Department of Economics
EP  - 21
Y1  - 2015/01//
TI  - Asymptotics for parametric GARCH-in-Mean Models
ID  - heidok18010
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/18010/
CY  - Heidelberg
KW  - GARCH-in-Mean
KW  -  stochastic recurrence equations
KW  -  risk-return relationship
A1  - Conrad, Christian
A1  - Mammen , Enno 
N2  - 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 speci?cation is quite complex although it is a rather standard parametric model. Nevertheless, our theory does not yet treat all standard speci?cations of the mean function.
AV  - public
ER  -