An ARCH model without intercept (Q500477): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	An ARCH model without intercept	scientific article

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scholarly article

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An ARCH model without intercept (English)

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zbMATH Open document ID

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10.1016/j.econlet.2015.01.029

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Christian M. Hafner

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Economics Letters

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publication date

5 October 2015

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

nonstationarity

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volatility

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Lyapunov exponent

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random walk

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.econlet.2015.01.029

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Handbook of Volatility Models and Their Applications

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Generalized autoregressive conditional heteroscedasticity

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

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Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

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ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS

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Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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Sitelinks

Mathematics(1 entry)

mardi Publication:500477

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