Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/127392
Authors: 
Conrad, Christian
Mammen , Enno
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper Series, University of Heidelberg, Department of Economics 579
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.
Subjects: 
GARCH-in-Mean
stochastic recurrence equations
risk-return relationship
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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