An ARCH model without intercept (Q500477)

From MaRDI portal

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	An ARCH model without intercept	scientific article

Statements

scholarly article

0 references

An ARCH model without intercept (English)

0 references

0 references

Christian M. Hafner

0 references

Economics Letters

0 references

publication date

5 October 2015

0 references

zbMATH Keywords

nonstationarity

0 references

volatility

0 references

Lyapunov exponent

0 references

random walk

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.econlet.2015.01.029

0 references

Handbook of Volatility Models and Their Applications

0 references

Generalized autoregressive conditional heteroscedasticity

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

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

0 references

Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

0 references

ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS

0 references

Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

0 references

Identifiers

zbMATH Open document ID

0 references

10.1016/j.econlet.2015.01.029

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:500477

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q500477&oldid=36204348"