Testing the existence of moments for GARCH processes

Cites Work

Generalized autoregressive conditional heteroscedasticity
Asymptotic Statistics
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Title not available (Why is that?)
On the range of validity of the autoregressive sieve bootstrap
Title not available (Why is that?)
A test for second-order stationarity of a time series based on the discrete Fourier transform
Testing for (in)finite moments
High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
Stationarity of GARCH processes and of some nonnegative time series
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
Properties of moments of a family of GARCH processes
Efficient estimation in semiparametric GARCH models
Stationarity and the existence of moments of a family of GARCH processes.
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
On Efficient Inference in GARCH Processes
Inference in nonstationary asymmetric GARCH models
Title not available (Why is that?)
Nonstationary GARCH with \(t\)-distributed innovations
Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
The bootstrap does not always work for heteroscedastic models
Tests for conditional ellipticity in multivariate GARCH models
Title not available (Why is that?)
The ZD-GARCH model: a new way to study heteroscedasticity
A Model Specification Test For GARCH(1,1) Processes

Cited In (5)

Guaranteed detection of an imbalance instant of the GARCH-process
A residual bootstrap for conditional value-at-risk
Tail behavior of ACD models and consequences for likelihood-based estimation
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
Inference on GARCH-MIDAS models without any small-order moment

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