Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process.
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Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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Cites work
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- A bootstrap procedure for estimating the adjustment coefficients
- ARCH modeling in finance. A review of the theory and empirical evidence
- Confidence bounds for the adjustment coefficient
- Estimating the parameters of rare events
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Extremes and local dependence in stationary sequences
- Extremes and related properties of random sequences and processes
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Implicit renewal theory and tails of solutions of random equations
- Markov chains and stochastic stability
- Modelling the persistence of conditional variances
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- On some estimates based on sample behavior near high level excursions
- On the exceedance point process for a stationary sequence
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Point processes, regular variation and weak convergence
- Products of Random Matrices
- Pseudo Maximum Likelihood Methods: Theory
- Random difference equations and renewal theory for products of random matrices
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
- The sample ACF of a simple bilinear process
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- Time Series and Dynamic Models
Cited in
(only showing first 100 items - show all)- Integrated Markov-switching GARCH process
- Independent multiresolution component analysis and matching pursuit
- Affine stochastic equation with triangular matrices
- Unit root testing in the presence of heavy-tailed GARCH errors
- On Extremal Index of max-stable stationary processes
- Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
- Nonstationary linear processes with infinite variance GARCH errors
- Residual-based GARCH bootstrap and second order asymptotic refinement
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
- Root-\(T\) consistent density estimation in GARCH models
- Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
- \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails
- 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
- A strong ergodic theorem for extreme and intermediate order statistics
- The extremal index for GARCH(1,1) processes
- Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
- An extreme value analysis of the last century crises across industries in the U.S. economy
- Estimation and asymptotic properties in periodic GARCH(1,1) models
- Testing GARCH-X type models
- Modeling tails of aggregate economic processes in a stochastic growth model
- Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
- A new characterization of the normal law
- Testing for bubbles and change-points
- Cluster based inference for extremes of time series
- Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
- Estimation and inference about tail features with tail censored data
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Surprise volume and heteroskedasticity in equity market returns
- A conditionally heteroskedastic binary choice model for macro-financial time series
- Clustering of time series using quantile autocovariances
- Serial dependence in ARCH-models as measured by tail dependence coefficients
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
- Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
- Asymptotic inference for AR models with heavy-tailed G-GARCH noises
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- A note on unit root tests with heavy-tailed GARCH errors
- Robust inference in conditionally heteroskedastic autoregressions
- Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
- 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
- Where does the tail begin? An approach based on scoring rules
- Fixed-k Inference for Conditional Extremal Quantiles
- A simple empirical inquiry concerning tail risk
- Testing conditional heteroscedasticity with systematic sampling of time series
- Cascade systems de-noising and greedy calibrated approximation
- Robust inference in AR-G/GARCH models under model uncertainty
- Testing serial correlation in a general d -factor model with possible infinite variance
- Tail risk monotonicity in GARCH(1,1) models
- New robust inference for predictive regressions
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
- The use of aggregate time series for testing conditional heteroscedasticity
- A note on the tails of the GO-GARCH process
- A nonparametric test of a strong leverage hypothesis
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Test for zero median of errors in an ARMA-GARCH model
- Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for \(\mathrm{GARCH}(1,1)\)
- Inference on GARCH-MIDAS models without any small-order moment
- Extremal behaviour of models with multivariate random recurrence representation
- A functional limit theorem for dependent sequences with infinite variance stable limits
- Point process convergence of stochastic volatility processes with application to sample autocorrelation
- Asymptotics for GARCH squared residual correlations
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
- Perpetuities and asymptotic change-point analysis
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
- Multivariate linear recursions with Markov-dependent coefficients
- On the Autocorrelation Properties of Long‐Memory GARCH Processes
- Tail and nontail memory with applications to extreme value and robust statistics
- Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- A note on the Jarque-Bera normality test for GARCH innovations
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
- Time-varying copula models for financial time series
- Extreme events of Markov chains
- High-level dependence in time series models
- Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
- Method of moment estimation in the COGARCH(1,1) model
- A moment closed form estimator for the autoregressive conditional duration model
- Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations
- Tail risk inference via expectiles in heavy-tailed time series
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- Renewal theory for functionals of a Markov chain with compact state space.
- Estimation of the maximal moment exponent of a GARCH(1,1) sequence
- Interval estimation of the tail index of a GARCH(1,1) model
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Visualization and inference based on wavelet coefficients, SiZer and SiNos
- Extremal memory of stochastic volatility with an application to tail shape inference
- Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
- The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process
- Volatility regressions with fat tails
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
- Stochastic volatility models with possible extremal clustering
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