The time-varying GARCH-in-mean model

Dias, G.F. (2017) The time-varying GARCH-in-mean model. Economics Letters, 157. pp. 129-132. ISSN 0165-1765

Abstract

Metadata

Authors/Creators:
  • Dias, G.F.
Copyright, Publisher and Additional Information: © 2017 Elsevier. This is an author-produced version of a paper subsequently published in Economics Letters. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/)
Keywords: Risk-return tradeoff; Time-varying coefficients; Iterative estimators; GARCH-type models
Dates:
  • Accepted: 4 June 2017
  • Published (online): 12 June 2017
  • Published: August 2017
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 10 Apr 2019 16:04
Last Modified: 10 Apr 2019 22:41
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.econlet.2017.06.005

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