Conditional Heteroscedastic Time Series Models

consistency asymptotic normality time series transfer function random coefficients white noise ARCH models invertibility innovation process information criterion CHARMA RCA models optimum predictor AIC model building conditional heteroscedastic moving average models F test for heteroscedasticity Ordinary least squares estimates polynomials of the backshift operator time varying conditional variances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (46)

Unnamed Item ⋮ Testing for unit root processes in random coefficient autoregressive models ⋮ Multivariate hyper-rotated GARCH-BEKK ⋮ Random autoregressive models: A structured overview ⋮ CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ ARCH tests and quantile regressions ⋮ Stationarity and invertibility of a dynamic correlation matrix ⋮ NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL ⋮ Hysteresis and cyclical variability in real wages, output and unemployment: empirical evidence from nonlinear methods for the United States ⋮ Estimating the variance of the LAD regression coefficients. ⋮ Testing for PPP: the erratic behaviour of unit root tests ⋮ Estimation in nonlinear random fields models of autoregressive type with random parameters ⋮ Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models ⋮ Nonlinearity testing and modeling for threshold moving average models ⋮ Canonical correlation analysis for the vector AR(1) model with ARCH innovations ⋮ AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY ⋮ GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION ⋮ Unnamed Item ⋮ ARCH modeling in finance. A review of the theory and empirical evidence ⋮ Robustness of the arch tests in the presence of serial correlation ⋮ On time series with randomized unit root and randomized seasonal unit root ⋮ A test for strict stationarity in a random coefficient autoregressive model of order 1 ⋮ Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model ⋮ Testing for serial correlation in the presence of dynamic heteroscedasticity ⋮ Strict stationarity testing and GLAD estimation of double autoregressive models ⋮ A nonlinear time series approach to modelling asymmetry in stock market indexes ⋮ LAD estimation with random coefficient autocorrelated errors. ⋮ A Note on Non‐Negative Arma Processes ⋮ Unnamed Item ⋮ The information matrix test in the linear regression with ARMA errors ⋮ The correct regularity condition and interpretation of asymmetry in EGARCH ⋮ On some probabilistic properties of double periodic AR models ⋮ A simple multivariate ARCH model specified by random coefficients ⋮ Periodic stationarity of random coefficient periodic autoregressions ⋮ Parameter Estimation in Conditional Heteroscedastic Models ⋮ Identification of Threshold Autoregressive Moving Average Models ⋮ Forecast accuracy and effort: The case of US inflation rates ⋮ The least-squares criteria of the random coefficient dynamic regression model ⋮ Random coefficient autoregressive processes and the PUCK model with fluctuating potential ⋮ Testing for strict stationarity in a random coefficient autoregressive model ⋮ On the invertibility of EGARCH(p, q) ⋮ Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models ⋮ Joint modeling of cointegration and conditional heteroscedasticity with applications ⋮ Testing for a linear MA model against threshold MA models

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