eprintid: 18010
rev_number: 19
eprint_status: archive
userid: 2744
dir: disk0/00/01/80/10
datestamp: 2015-01-19 07:52:09
lastmod: 2015-04-22 08:22:29
status_changed: 2015-01-19 07:52:09
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Mammen , Enno 
title: Asymptotics for parametric GARCH-in-Mean Models
subjects: ddc-330
divisions: i-181000
keywords: GARCH-in-Mean, stochastic recurrence equations, risk-return relationship
abstract: 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 specification is quite complex although it is a rather standard parametric model. Nevertheless, our theory does not yet treat all standard specifications of the mean function.
date: 2015-01
id_scheme: DOI
id_number: 10.11588/heidok.00018010
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0579
ppn_swb: 1654740977
own_urn: urn:nbn:de:bsz:16-heidok-180103
language: eng
bibsort: CONRADCHRIASYMPTOTIC201501
full_text_status: public
series: Discussion Paper Series, University of Heidelberg, Department of Economics
volume: 0579
place_of_pub: Heidelberg
pages: 21
citation:   Conrad, Christian ; Mammen , Enno   (2015) Asymptotics for parametric GARCH-in-Mean Models.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/18010/1/Conrad_Mammen_2015_dp579.pdf