Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process.

DOI10.1214/AOS/1015957401zbMATH Open1105.62374OpenAlexW1594572042MaRDI QIDQ1848834FDOQ1848834

Authors: T. Mikosch, Cătălin Stărică 

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1015957401

Recommendations

• scientific article; zbMATH DE number 2152219
• On the Autocorrelation Properties of Long‐Memory GARCH Processes
• Point process convergence of stochastic volatility processes with application to sample autocorrelation
• Regular variation of GARCH processes.
• Limit theory for a general class of GARCH models with just barely infinite variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Pseudo Maximum Likelihood Methods: Theory
• Extremes and related properties of random sequences and processes
• On the exceedance point process for a stationary sequence
• ARCH modeling in finance. A review of the theory and empirical evidence
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimating the parameters of rare events
• Title not available (Why is that?)
• Random difference equations and renewal theory for products of random matrices
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Extremes and local dependence in stationary sequences
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Markov chains and stochastic stability
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Title not available (Why is that?)
• Implicit renewal theory and tails of solutions of random equations
• Strict stationarity of generalized autoregressive processes
• Modelling the persistence of conditional variances
• Stationarity of GARCH processes and of some nonnegative time series
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Title not available (Why is that?)
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Point processes, regular variation and weak convergence
• Title not available (Why is that?)
• Title not available (Why is that?)
• Products of Random Matrices
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• On some estimates based on sample behavior near high level excursions
• Time Series and Dynamic Models
• The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
• Confidence bounds for the adjustment coefficient
• The sample ACF of a simple bilinear process
• A bootstrap procedure for estimating the adjustment coefficients

Cited In (only showing first 100 items - show all)

• Independent multiresolution component analysis and matching pursuit
• Clustering of time series using quantile autocovariances
• Joint extremal behavior of hidden and observable time series with applications to GARCH processes
• Residual-based GARCH bootstrap and second order asymptotic refinement
• Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
• LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• A conditionally heteroskedastic binary choice model for macro-financial time series
• Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
• Modeling tails of aggregate economic processes in a stochastic growth model
• Testing for bubbles and change-points
• Affine stochastic equation with triangular matrices
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails
• Robust inference in conditionally heteroskedastic autoregressions
• A new characterization of the normal law
• Inference on the tail process with application to financial time series modeling
• Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
• Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises
• Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
• An extreme value analysis of the last century crises across industries in the U.S. economy
• Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
• Where does the tail begin? An approach based on scoring rules
• Integrated Markov-switching GARCH process
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• Estimation and asymptotic properties in periodic GARCH(1,1) models
• The extremal index for GARCH(1,1) processes
• Unit root testing in the presence of heavy-tailed GARCH errors
• Nonstationary linear processes with infinite variance GARCH errors
• Estimation and inference about tail features with tail censored data
• Surprise volume and heteroskedasticity in equity market returns
• A note on unit root tests with heavy-tailed GARCH errors
• A strong ergodic theorem for extreme and intermediate order statistics
• Testing GARCH-X type models
• Root-\(T\) consistent density estimation in GARCH models
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
• On Extremal Index of max-stable stationary processes
• Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
• Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
• The autocorrelation structure of the Markov-switching asymmetric power GARCH process
• On the tvGARCH(1,1) model: existence, CLT, and tail index
• Distributional analysis of empirical volatility in GARCH processes
• Cluster based inference for extremes of time series
• Serial dependence in ARCH-models as measured by tail dependence coefficients
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
• Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• Regular variation of order 1 nonlinear AR-ARCH models
• On a Mixture GARCH Time-Series Model
• Functional weak convergence of partial maxima processes
• On the tail index inference for heavy-tailed GARCH-type innovations
• Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
• The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
• High-level dependence in time series models
• Visualization and inference based on wavelet coefficients, SiZer and SiNos
• A functional limit theorem for dependent sequences with infinite variance stable limits
• Estimation of and inference about the expected shortfall for time series with infinite variance
• A moment closed form estimator for the autoregressive conditional duration model
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• A note on the Jarque-Bera normality test for GARCH innovations
• Renewal theory for functionals of a Markov chain with compact state space.
• The extremogram: a correlogram for extreme events
• Method of moment estimation in the COGARCH(1,1) model
• A Fourier analysis of extreme events
• Time-changed extremal process as a random sup measure
• The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
• Time-varying copula models for financial time series
• Volatility regressions with fat tails
• Asymptotics for parametric GARCH-in-mean models
• Regular variation of GARCH processes.
• Efficient rare-event simulation for perpetuities
• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• Semi- and nonparametric ARCH processes
• On Fréchet autoregressive conditional duration models
• Extremal behaviour of models with multivariate random recurrence representation
• An algorithm for nonparametric GARCH modelling.
• The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process
• Limit theory for a general class of GARCH models with just barely infinite variance
• Tail and nontail memory with applications to extreme value and robust statistics
• Stable limits for sums of dependent infinite variance random variables
• The quantilogram: with an application to evaluating directional predictability
• Robust score and portmanteau tests of volatility spillover
• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
• Asymptotics for GARCH squared residual correlations
• Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
• Multivariate linear recursions with Markov-dependent coefficients
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
• On the online estimation of local constant volatilities
• Stochastic volatility models with possible extremal clustering
• Measures of serial extremal dependence and their estimation
• GARCH models without positivity constraints: exponential or log GARCH?
• Subsampling tests for the mean change point with heavy-tailed innovations
• A family of Markov-switching GARCH processes
• Perpetuities and asymptotic change-point analysis
• Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Stable laws and spectral gap properties for affine random walks
• Power variation and stochastic volatility: a review and some new results

This page was built for publication: Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1848834)