Some statistical results on autoregressive conditionally heteroscedastic models

DOI10.1016/S0378-3758(97)00141-9zbMATH Open0942.62113MaRDI QIDQ1299538FDOQ1299538

Authors: E. Gonçalves, N. Mendes-Lopes 

Publication date: 24 August 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Recommendations

• Generalized autoregressive conditional heteroscedasticity
• On a threshold autoregression with conditional heteroscedastic variances
• Threshold heteroskedastic models
• Threshold heteroskedastic models

zbMATH Keywords

stationarityforecastingARMA modelswhite noiseconditionally heteroscedastic time series

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Threshold heteroskedastic models
• Title not available (Why is that?)
• Stationarity of Gtarch Processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• A new test for ARMA models with errors following a general white noise process
• Title not available (Why is that?)

Cited In (13)

• Heteroscedastic modelling via the autoregressive conditional variance subspace
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• On conditionally heteroscedastic AR models with thresholds
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
• Estimation in real data set by Split-ARCH model
• ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR
• On the structure of generalized threshold ARCH processes
• Parameter Estimation in Conditional Heteroscedastic Models
• Autoregressive conditional heteroscedasticity: a comparison of ARCH and random coefficient models
• A note on a simple Markov bilinear stochastic process
• A Decision Procedure for Bilinear Time Series Based on the Asymptotic Separation
• Inference in Autoregression under Heteroskedasticity
• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

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