GARCH with omitted persistent covariate (Q485597)

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Language	Label	Description	Also known as
English	GARCH with omitted persistent covariate	scientific article

Statements

scholarly article

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GARCH with omitted persistent covariate (English)

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Economics Letters

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publication date

12 January 2015

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zbMATH Keywords

IGARCH

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GARCH-X

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nonlinear nonstationary time series

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fractionally integrated process

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.econlet.2014.05.016

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Level changes in volatility models

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Modelling the persistence of conditional variances

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Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

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Autoregressive conditional heteroskedasticity and changes in regime

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ARCH/GARCH with persistent covariate: asymptotic theory of MLE

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Neglecting parameter changes in GARCH models

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On Convergence of the QMLE for Misspecified GARCH Models

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ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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Structural change and estimated persistence in the \(GARCH(1,1)\)-model

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Nonlinear Regressions with Integrated Time Series

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Identifiers

zbMATH Open document ID

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10.1016/j.econlet.2014.05.016

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:485597

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