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长期月度温度序列与向量季节均值和协方差变动自回归模型AI 解读

We consider a vector version of the Shifting Seasonal Mean Autoregressive model. The model is used for describing dynamic behaviour of and contemporaneous dependence between a number of long monthly temperature series for 20 cities in Europe, extending from the second half of the 18th century until mid-2010s. The results indicate strong warming in the winter months, February excluded, and cooling followed by warming during the summer months. Error variances are mostly…

扩展的常条件相关 GARCH 模型及其四阶矩结构AI 解读

The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against which other models can be compared. In this paper we consider an extension to this model and examine its fourth-moment structure. The extension, first defined by Jeantheau (1998, Econometric Theory 14, 70–86), is motivated by the result found and discussed in this paper that the…

一阶指数 GARCH 模型族的矩结构AI 解读

In this paper we consider the moment structure of a class of first-order exponential generalized autoregressive conditional heteroskedasticity (GARCH) models. This class contains as special cases both the standard exponential GARCH model and the symmetric and asymmetric logarithmic GARCH model. Conditions for the existence of any arbitrary moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of positive powers of absolute-valued…