ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
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Recommendations
- Statistical inference for non-stationary GARCH(p,q) models
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Inference in nonstationary asymmetric GARCH models
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
Cites work
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Generalized autoregressive conditional heteroscedasticity
- Martingale Central Limit Theorems
- Stationarity of GARCH processes and of some nonnegative time series
Cited in
(97)- A new bivariate integer-valued GARCH model allowing for negative cross-correlation
- EGARCH models with fat tails, skewness and leverage
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
- Cointegration models with non Gaussian GARCH innovations
- Nonstationary GARCH with \(t\)-distributed innovations
- The ZD-GARCH model: a new way to study heteroscedasticity
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- A note on the QMLE limit theory in the non-stationary ARCH(1) model
- Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- Some recent theory for autoregressive count time series
- Statistical inference for non-stationary GARCH(p,q) models
- Strict stationarity testing and GLAD estimation of double autoregressive models
- Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- Asymptotic normality of the MLE in the level-effect ARCH model
- Testing the existence of moments for GARCH processes
- Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
- Hybrid quantile estimation for asymmetric power GARCH models
- A score statistic for testing the presence of a stochastic trend in conditional variances
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
- Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Limit theory for moderate deviation from integrated GARCH processes
- Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
- Fractionally integrated time varying GARCH model
- Realized BEKK-CAW models
- Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
- An alternative GARCH-in-mean model: structure and estimation
- Semi-parametric estimation and forecasting for exogenous log-GARCH models
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
- Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
- Volatility modeling with a generalized t distribution
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- Estimation in nonstationary random coefficient autoregressive models
- Asymptotics for parametric GARCH-in-mean models
- Estimation and asymptotic inference in the AR-ARCH model
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
- Parameter estimation in nonlinear AR-GARCH models
- scientific article; zbMATH DE number 4201414 (Why is no real title available?)
- FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Inference in nonstationary asymmetric GARCH models
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- Asymptotic inference of unstable periodic ARCH processes
- Renorming volatilities in a family of GARCH models
- The ARCH(2) model: pseudo-maximum estimation and asymptotic results under dependent innovations
- Pseudo maximum likelihood estimation of the univariate GARCH(2,2) and asymptotic normality under dependent innovations
- On dynamics of volatilities in nonstationary GARCH models
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
- GARCH with omitted persistent covariate
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- scientific article; zbMATH DE number 1396191 (Why is no real title available?)
- Filtering With Heavy Tails
- Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations
- Location multiplicative error models with quasi maximum likelihood estimation
- Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case
- Time-series models with an EGB2 conditional distribution
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Testing GARCH-X type models
- NM-QELE for ARMA-GARCH models with non-Gaussian innovations
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
- A dynamic conditional score model for the log correlation matrix
- Semi- and nonparametric ARCH processes
- GARCH density and functional forecasts
- QMLE for periodic absolute value GARCH models
- Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Bootstrap inference for Hawkes and general point processes
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Modelling circular time series
- Log-linear Poisson autoregression
- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function
- Modeling Extreme Events: Time-Varying Extreme Tail Shape
- Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
- A trinomial difference autoregressive process for the bounded \(\mathbb{Z}\)-valued time series
- Testing in GARCH-X models: boundary, correlations and bootstrap theory
- Sequential monitoring for changes in GARCH(1,1) models without assuming stationarity
- Modelling bounded integer-valued time series of counts with a novel class of Conway–Maxwell–Poisson–Binomial ARCH models
- A comment on: ``Autoregressive conditional duration: a new model for irregularly spaced transaction data
- Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
- Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience
- Time-varying dispersion integer-valued GARCH models
- Likelihood-based inference for cointegration with nonlinear error-correction
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- Semiparametric inference in a GARCH-in-mean model
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
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