Nonstationary GARCH with t-distributed innovations
DOI10.1016/J.ECONLET.2015.11.016zbMATH Open1398.62245OpenAlexW2184289640MaRDI QIDQ1667982FDOQ1667982
Authors: Rasmus Søndergaard Pedersen, Anders Rahbek 
Publication date: 31 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2015.11.016
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Cites Work
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- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Stationarity of GARCH processes and of some nonnegative time series
- The efficiency of the estimators of the parameters in GARCH processes.
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Estimation in conditionally heteroscedatic time series models.
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Inference in nonstationary asymmetric GARCH models
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- The rate of consistency of the quasi-maximum likelihood estimator.
Cited In (10)
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
- Inference for asymmetric exponentially weighted moving average models
- RCA model with quadratic GARCH innovation distribution
- On strict stationarity of nonlinear ARMA processes with nonlinear GARCH innovations
- Cointegration models with non Gaussian GARCH innovations
- Asymptotic normality of the MLE in the level-effect ARCH model
- Testing GARCH-X type models
- Testing the existence of moments for GARCH processes
- BL-GARCH models with elliptical distributed innovations
- Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
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