Препринт

Comparison Results for GARCH Processes

Fabio BelliniUniversity of Milano Bicocca - Dipartimento di Statistica e Metodi QuantitativiFranco PellereyPolytechnic University of TurinCarlo SgarraPolitecnico di Milano- Dipartimento di MatematicaSalimeh Yasaei SekehFerdowsi University of Mashhad (FUM)

Journal of Applied Probabilityjournal2012en

ABI

Аннотация

We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their interpretations. We focus on the convex order and show that in the case of symmetric innovations it is also propagated to the cumulated sums of the Garch process. More generally, we discuss multivariate comparison results related to the multivariate convex and supermodular order. Finally we discuss ordering with respect to the parameters in the Garch (1,1) case.

Темы

Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Methods and Inference

Идентификаторы

DOI: 10.1017/s0021900200011608

Цитирования и источники

Цитирований: 0Использованных источников: 13

Показатели — AkademScholar · Скоро