A Note on Non‐Negative Arma Processes

DOI10.1111/J.1467-9892.2006.00513.XMaRDI QIDQ5430503zbMATH OpenOpenAlexFDO

Authors Henghsiu Tsai, Kung-Sik Chan

Publication date 16 December 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2006.00513.x

zbMATH Keywords

absolute monotonicitygenerating functionstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
• A Note on Non-Negative Continuous Time Processes
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• Conditional Heteroscedastic Time Series Models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Multivariate Stochastic Variance Models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Random coefficient autoregressive models: an introduction
• Time series: theory and methods.
• What is the Laplace Transform?

Cited in

(9)

• A note on the properties of some nonstationary ARMA processes
• Estimation for non-negative time series with heavy-tail innovations
• Nonlinear nonnegative ar(1) processes
• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
• A note on interpolation of arima processes
• scientific article; zbMATH DE number 1031964 (Why is no real title available?)
• Quasi-likelihood estimation in volatility models for semi-continuous time series
• Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization

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