MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
From MaRDI portal
Publication:3408521
DOI10.1017/S0266466606060373zbMath1100.62083OpenAlexW2142306316MaRDI QIDQ3408521
Jean-Michel Zakoian, Christian Francq
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466606060373
Related Items (37)
A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ Asymptotics for semi-strong augmented GARCH(1,1) model ⋮ Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root ⋮ SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS ⋮ RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ Splines for Financial Volatility ⋮ Nearly nonstationary processes under infinite variance GARCH noises ⋮ Limit theory for a general class of GARCH models with just barely infinite variance ⋮ Missing observations in observation-driven time series models ⋮ Uniformly strong consistency and Berry-Esseen bound of frequency polygons for α-mixing samples ⋮ Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations ⋮ RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT ⋮ Mixing properties of ARCH and time-varying ARCH processes ⋮ On dynamics of volatilities in nonstationary GARCH models ⋮ Robust score and portmanteau tests of volatility spillover ⋮ MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL ⋮ Stability of nonlinear AR-GARCH models ⋮ Testing for a unit root under errors with just barely infinite variance ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ Feasible invertibility conditions and maximum likelihood estimation for observation-driven models ⋮ Moment condition tests for heavy tailed time series ⋮ Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions ⋮ RISK MINIMIZATION FOR TIME SERIES BINARY CHOICE WITH VARIABLE SELECTION ⋮ Stationarity and geometric ergodicity of a class of nonlinear ARCH models ⋮ On functional limits of short- and long-memory linear processes with GARCH(1,1) noises ⋮ Tail risk inference via expectiles in heavy-tailed time series ⋮ Probabilistic properties of periodic GARCH prosses ⋮ Absolute regularity of semi-contractive GARCH-type processes ⋮ ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS ⋮ ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL ⋮ Mixing Conditions, Central Limit Theorems, and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences ⋮ Estimation and Asymptotic Inference in the AR-ARCH Model ⋮ A GMM procedure for combining volatility forecasts ⋮ A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables ⋮ Empirical process theory for locally stationary processes ⋮ NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS ⋮ Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
Cites Work
- Estimating linear representations of nonlinear processes
- A functional central limit theorem for weakly dependent sequences of random variables
- Stationarity of GARCH processes and of some nonnegative time series
- Properties of moments of a family of GARCH processes
- Moving average conditional heteroskedastic processes
- A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Regular variation of GARCH processes.
- The mixing property of bilinear and generalised random coefficient autoregressive models
- Generalized autoregressive conditional heteroscedasticity
- Stationarity and the existence of moments of a family of GARCH processes.
- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Inference For Autocorrelations Under Weak Assumptions
- Non-linear time series and Markov chains
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Critères d'ergodicité géométrique ou arithmétique de modèles linéaires pertubés à représentation markovienne
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- Time Series Regression with a Unit Root
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Some Limit Theorems for Stationary Processes
This page was built for publication: MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
