Arch model with Box-Cox transformed dependent variable

DOI10.1016/S0167-7152(00)00117-6MaRDI QIDQ1593723zbMATH OpenFDO

Authors Nityananda Sarkar

Publication date 18 February 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Lagrange multiplierARCH modelBox-Cox power transformationextended BCGARCH modelGarch model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• scientific article; zbMATH DE number 42417 (Why is no real title available?)
• scientific article; zbMATH DE number 3507807 (Why is no real title available?)
• scientific article; zbMATH DE number 3537122 (Why is no real title available?)
• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• scientific article; zbMATH DE number 3297777 (Why is no real title available?)
• A Class of Nonlinear Arch Models
• A new family of power transformations to improve normality or symmetry
• A test for independence based on the correlation dimension
• An Analysis of Transformations Revisited
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Experience with using the Box-Cox transformation when forecasting economic time series
• Generalized autoregressive conditional heteroscedasticity
• Joint estimation and testing for functional form and heteroskedasticity
• Karhunen-Loeve Analysis of Historical Time Series With an Application to Plantation Births in Jamaica
• Modelling the persistence of conditional variances
• On a measure of lack of fit in time series models

Cited in

(6)

• An ARCH in the nonlinear mean (ARCH-NM) model
• A Modified Box-Cox Transformation in the Multivariate ARMA Model
• Box-Cox transforms for realized volatility
• Managing distribution changes in time series prediction
• Tail behavior and dependence structure in the APARCH model
• Second order least square estimation on ARCH(1) model with Box-Cox transformed dependent variable

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