Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
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Publication:1771421
DOI10.1016/j.spl.2003.08.016zbMath1075.62080OpenAlexW1971205065MaRDI QIDQ1771421
Ishwar V. Basawa, Sun Young Hwang
Publication date: 21 April 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2003.08.016
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Estimation and tests for power-transformed and threshold GARCH models ⋮ A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function ⋮ Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters ⋮ Power periodic threshold GARCH model: Structure and estimation ⋮ Autoregressive processes with generalized hyperbolic innovations ⋮ Asymmetric GARCH processes featuring both threshold effect and bilinear structure ⋮ Volatility asymmetry in functional threshold GARCH model ⋮ Offline and online weighted least squares estimation of nonstationary power ARCH processes ⋮ Bayesian analysis of periodic asymmetric power GARCH models ⋮ Outliers and misleading leverage effect in asymmetric GARCH-type models ⋮ Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models ⋮ A Family of Markov‐Switching Garch Processes ⋮ The autocorrelation structure of the Markov-switching asymmetric power GARCH process ⋮ Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process ⋮ Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series ⋮ Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model ⋮ Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes ⋮ On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process ⋮ Persistent-threshold-GARCH processes: model and application ⋮ QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes ⋮ Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes ⋮ Test for tail index constancy of GARCH innovations based on conditional volatility ⋮ Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations ⋮ A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors
Cites Work
- Stationarity of GARCH processes and of some nonnegative time series
- ARCH models and financial applications
- Generalized autoregressive conditional heteroscedasticity
- A threshold AR(1) model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Class of Nonlinear Arch Models
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
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