Testing the existence of moments for GARCH processes
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Cites work
- scientific article; zbMATH DE number 1157181 (Why is no real title available?)
- scientific article; zbMATH DE number 2148871 (Why is no real title available?)
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A model specification test for GARCH(1,1) processes
- A test for second-order stationarity of a time series based on the discrete Fourier transform
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Asymptotic Statistics
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Efficient estimation in semiparametric GARCH models
- Generalized autoregressive conditional heteroscedasticity
- High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
- Inference in nonstationary asymmetric GARCH models
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- Nonstationary GARCH with \(t\)-distributed innovations
- On Efficient Inference in GARCH Processes
- On the range of validity of the autoregressive sieve bootstrap
- Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
- Properties of moments of a family of GARCH processes
- Stationarity and the existence of moments of a family of GARCH processes.
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Testing for (in)finite moments
- Tests for conditional ellipticity in multivariate GARCH models
- The ZD-GARCH model: a new way to study heteroscedasticity
- The bootstrap does not always work for heteroscedastic models
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Cited in
(6)- 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
- Finite moments testing in a general class of nonlinear time series models
- 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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