Some statistical results on autoregressive conditionally heteroscedastic models

DOI10.1016/S0378-3758(97)00141-9MaRDI QIDQ1299538zbMATH OpenFDO

Authors E. Gonçalves, N. Mendes-Lopes

Publication date 24 August 2000

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

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)

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Cites work

• scientific article; zbMATH DE number 3870443 (Why is no real title available?)
• scientific article; zbMATH DE number 3666721 (Why is no real title available?)
• scientific article; zbMATH DE number 48398 (Why is no real title available?)
• scientific article; zbMATH DE number 597676 (Why is no real title available?)
• A new test for ARMA models with errors following a general white noise process
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• Stationarity of Gtarch Processes
• Threshold heteroskedastic models

Cited in

(13)

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

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