Aggregation in ARCH models

DOI10.1023/A:1015021801709MaRDI QIDQ1873237zbMATH OpenFDO

Authors Remigijus Leipus, Marie-Claude Viano

Publication date 19 May 2003

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

aggregationrandom coefficientsARCH modelsGARCH(1,1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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Cited in

(12)

• Limit theorems for aggregated linear processes
• Aggregation and memory of models of changing volatility
• Contemporaneous aggregation of GARCH processes
• On the ARCH model with random coefficients
• Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
• Aggregation of the random coefficient GLARCH(1,1) process
• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Aggregation and marginalization of GARCH processes: some further results
• The polynomial aggregated AR(1) model*
• Stability of random coefficient ARCH models and aggregation schemes
• Asymptotic behavior of weakly dependent aggregated processes
• Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations

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