ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357)

scientific article; zbMATH DE number 6429979

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English	ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS	scientific article; zbMATH DE number 6429979

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ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (English)

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24 April 2015

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MaRDI publication profile

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cites work

Statistical inference for time-varying ARCH processes

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The stability of large random matrices and their products

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Alternative models for stock price dynamics.

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MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

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The stochastic equation Yn+1=AnYn + Bn with stationary coefficients

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Strict stationarity of generalized autoregressive processes

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On square-integrability of an AR process with Markov switching

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Modeling volatility persistence of speculative returns: a new approach

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Stationarity of GARCH processes and of some nonnegative time series

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The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series

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Tightness of products of random matrices and stability of linear stochastic systems

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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Generalized autoregressive conditional heteroscedasticity

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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The mixing property of bilinear and generalised random coefficient autoregressive models

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Bilinear Markovian representation and bilinear models

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On the measurability and consistency of minimum contrast estimates

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The distribution of Lyapunov exponents: Exact results for random matrices

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Asymptotic Behavior of Stochastic Systems Possessing Markovian Realizations

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Products of Random Matrices

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A Tour in the Asymptotic Theory of GARCH Estimation

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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

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Augmented GARCH\((p,q)\) process and its diffusion limit

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Predicting volatility: getting the most out of return data sampled at different frequencies

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GARCH processes: structure and estimation

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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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Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

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High moment partial sum processes of residuals in GARCH models and their applications

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On stationarity and ergodicity of the bilinear model with applications to GARCH models

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Change-point estimation in ARCH models

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Subadditive ergodic theory

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Empirical process of the squared residuals of an ARCH sequence

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Properties of moments of a family of GARCH processes

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Efficient estimation of a multivariate multiplicative volatility model

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The conditional autoregressive Wishart model for multivariate stock market volatility

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Stochastic vector difference equations with stationary coefficients

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full work available at URL

https://doi.org/10.1017/s0266466614000334

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Identifiers

zbMATH Open document ID

1441.62242

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DOI

10.1017/S0266466614000334

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:5247357