Asymptotic behaviour of the sample autocovariance and autocorrelation function of the AR(1) process with ARCH(1) errors

DOI10.2307/3318623MaRDI QIDQ1611570zbMATH OpenOpenAlexFDO

Authors Milan Borkovec

Publication date 5 November 2002

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3318623

zbMATH Keywords

ARCH modelautoregressive processextremal indexgeometric ergodicityheavy tailsmultivariate regular variationpoint processessample autocovariance functionstrong mixing

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(18)

• A note on a simple Markov bilinear stochastic process
• Extremal behavior of the autoregressive process with ARCH(1) errors
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
• Point process convergence of stochastic volatility processes with application to sample autocorrelation
• Local Estimation in AR Models with Nonparametric ARCH Errors
• ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
• Structure of a double autoregressive process driven by a hidden Markov chain
• scientific article; zbMATH DE number 3999070 (Why is no real title available?)
• Tail index of an AR(1) model with ARCH(1) errors
• Local M-estimation for conditional variance in heteroscedastic regression models
• Local GMM estimation of time series models with conditional moment restrictions
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
• Sample path properties of an explosive double autoregressive model
• High-level dependence in time series models
• Regular variation of order 1 nonlinear AR-ARCH models
• Conditional variance estimation in heteroscedastic regression models

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