Stability of random coefficient ARCH models and aggregation schemes (Q2439054): Difference between revisions

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+Marie-Claude Viano
@@ Property / author: Marie-Claude Viano / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
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@@ Property / cites work @@
+Modeling volatility persistence of speculative returns: a new approach
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@@ Property / cites work @@
+Q3994459
@@ Property / cites work: Q3994459 / rank @@
+Normal rank
@@ Property / cites work @@
+STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL  LIMIT THEOREM
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@@ Property / cites work @@
+ARCH-type bilinear models with double long memory.
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@@ Property / cites work @@
+Long memory relationships and the aggregation of dynamic models
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@@ Property / cites work @@
+FOURTH MOMENT STRUCTURE OF THE GARCH(<i>p</i>,<i>q</i>) PROCESS
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@@ Property / cites work @@
+The second moment and the autocovariance function of the squared errors of the GARCH model
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@@ Property / cites work @@
+ON STATIONARITY IN THE ARCH(∞) MODEL
@@ Property / cites work: ON STATIONARITY IN THE ARCH(∞) MODEL / rank @@
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@@ Property / cites work @@
+Aggregation in ARCH models
@@ Property / cites work: Aggregation in ARCH models / rank @@
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@@ Property / cites work @@
+Stationarity and the existence of moments of a family of GARCH processes.
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@@ Property / cites work @@
+Q3727186
@@ Property / cites work: Q3727186 / rank @@
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@@ Property / cites work @@
+Current developments in time series modelling
@@ Property / cites work: Current developments in time series modelling / rank @@
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@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0304-4076(03)00209-4
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@@ Property / OpenAlex ID @@
+W2068904087
@@ Property / OpenAlex ID: W2068904087 / rank @@
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