Nonstationary linear processes with infinite variance GARCH errors
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Recommendations
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- scientific article; zbMATH DE number 5816769
- A Note on Unit Root Tests with Infinite Variance Noise
- Unit root testing in the presence of heavy-tailed GARCH errors
- Limit theory for a general class of GARCH models with just barely infinite variance
Cites work
- A bivariate stable characterization and domains of attraction
- A Limit Theorem for Financial Markets with Inert Investors
- A non-Skorokhod topology on the Skorokhod space
- A Note on Unit Root Tests with Infinite Variance Noise
- Asymptotic inference for AR models with heavy-tailed G-GARCH noises
- Extreme Values in Finance, Telecommunications, and the Environment
- Handbook of Financial Time Series
- scientific article; zbMATH DE number 5816769 (Why is no real title available?)
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 5586340 (Why is no real title available?)
- Implicit renewal theory and tails of solutions of random equations
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
- Quantile inference for near-integrated autoregressive times series with infinite variance
- Random difference equations and renewal theory for products of random matrices
- Rank tests of unit root hypothesis with infinite variance errors
- Regular variation of GARCH processes.
- Stable Paretian models in finance
- Targeting estimation of CCC-GARCH models with infinite fourth moments
- Testing for a unit root in time series regression
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
Cited in
(13)- Portmanteau-type test for unit root with heavy-tailed noise
- Infinite variance stable Gegenbauer ARFISMA models
- Nearly nonstationary processes under infinite variance GARCH noises
- On strict stationarity of nonlinear ARMA processes with nonlinear GARCH innovations
- Unit root testing in the presence of heavy-tailed GARCH errors
- Limit theory for a general class of GARCH models with just barely infinite variance
- scientific article; zbMATH DE number 5816769 (Why is no real title available?)
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises
- Inference on nonstationary heavy-tailed AR processes via model selection
- Self-weighted estimation for nonstationary processes with infinite variance GARCH errors
- Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
- Least squares and adaptive Lasso estimations of AR(p) models with unit roots and heavy-tailed noises
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