Second, and primarily, we study properties for the OLS estimator in general AR-GARCH model. Specifically it is shown that the OLS estimator of the autoregressive parameter in the AR-GARCH model has a ...

The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains ...

We apply vine copulas with generalized autoregressive conditional heteroscedasticity (GARCH) marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity ...

This is the first paper that estimates the price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data. Derived from a ...