Properties of moments of a family of GARCH processes

DOI10.1016/S0304-4076(98)00089-XzbMath0929.62093OpenAlexW2067385432MaRDI QIDQ1302764

Publication date: 31 January 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00089-x

zbMATH Keywords

time series stochastic volatility conditional variance heteroskedasticity second-order dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

A family of autoregressive conditional duration models, Unnamed Item, Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness, Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity, An econometric analysis of asymmetric volatility: theory and application to patents, Monitoring disruptions in financial markets, Asymptotics for semi-strong augmented GARCH(1,1) model, ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES, RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS, Generalized Variance-Ratio Tests in the Presence of Statistical Dependence, WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS, Nearly nonstationary processes under infinite variance GARCH noises, Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models, Detecting long-range dependence with truncated ratios of periodogram ordinates, Limit theory for a general class of GARCH models with just barely infinite variance, Bootstrapping the GMM overidentification test under first-order underidentification, Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility, \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors, Bootstrapping autoregressions with conditional heteroskedasticity of unknown form, Asymmetric GARCH processes featuring both threshold effect and bilinear structure, Outliers and misleading leverage effect in asymmetric GARCH-type models, Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data, Likelihood inference in BL-GARCH models, ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS, AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE, Asymptotic spectral theory for nonlinear time series, Test for the existence of finite moments via bootstrap, MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL, Likelihood inference for discriminating between long‐memory and change‐point models, A Family of Markov‐Switching Garch Processes, Distributional analysis of empirical volatility in GARCH processes, Recent developments in volatility modeling and applications, Estimating confidence regions over bounded domains, Unobserved component models with asymmetric conditional variances, Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model, On the structure of generalized threshold ARCH processes, Random coefficient volatility models, Related commodity markets and conditional correlations, BL-GARCH models with elliptical distributed innovations, Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models, Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes, Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model, Volatility filtering in estimation of kurtosis (and variance), Combining estimating functions for volatility, Root-\(T\) consistent density estimation in GARCH models, Inference on co-integration parameters in heteroskedastic vector autoregressions, Method of moments estimation of GO-GARCH models, A mathematical approach to detect the Taylor property in TARCH processes, Kurtosis of GARCH and stochastic volatility models with non-normal innovations, Stationarity of a family of GARCH processes, MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS, ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES, A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES, Stability conditions for heteroscedastic factor models with conditionally autoregressive betas, ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS, Approximation methods for multiple period Value at Risk and Expected Shortfall prediction, On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models, Particle learning for Bayesian semi-parametric stochastic volatility model, Robust inference in conditionally heteroskedastic autoregressions, Stationarity and the existence of moments of a family of GARCH processes., Nonstationary nonlinear heteroskedasticity., Evaluating GARCH models., Random coefficient GARCH models, Testing the existence of moments for GARCH processes, Random coefficient mixture (RCM) GARCH models

Cites Work