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| Title: | Fractional moments of solutions to stochastic recurrence equations |
| Authors: | Mikosch, Thomas
Samorodnitsky, Gennady
Tafakori, Laleh |
| Keywords: | random recursion
fractional moment
stationary solution
GARCH |
| Issue Date: | 13-Mar-2012 |
| Abstract: | In this paper we study the fractional moments of the stationary
solution to a stochastic recursion.
We derive recursive formulas for the fractional moments of the solution. Special attention is given to the case when
the additive term has an Erlang distribution. We provide various approximations to the
moments and show their performance in a small numerical study |
| URI: | http://hdl.handle.net/1813/28598 |
| Appears in Collections: | ORIE Technical Reports
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