Nearly nonstationary processes under infinite variance GARCH noises

DOI10.1007/S11766-022-4442-5MaRDI QIDQ2160010zbMATH OpenOpenAlexFDO

Authors Qi Meng Liu, Jian-hua Shi, Rong-Mao Zhang

Publication date 2 August 2022

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11766-022-4442-5

zbMATH Keywords

heavy-tailedGARCH noisesstable processes and unit-root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

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Cites work

• scientific article; zbMATH DE number 5816769 (Why is no real title available?)
• scientific article; zbMATH DE number 5586340 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises
• Asymptotic inference for unit root processes with GARCH(1,1) errors
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Generalized autoregressive conditional heteroscedasticity
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Least absolute deviations estimation for ARCH and GARCH models
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Limit theory for moderate deviations from a unit root
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Nonstationary linear processes with infinite variance GARCH errors
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• Properties of moments of a family of GARCH processes
• Quadratic ARCH Models
• Random difference equations and renewal theory for products of random matrices
• Regular variation of GARCH processes.
• Threshold heteroskedastic models
• Time Series with Roots on or Near the Unit Circle
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

Cited in

(4)

• On strict stationarity of nonlinear ARMA processes with nonlinear GARCH innovations
• A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process
• Infinite variance stable Gegenbauer ARFISMA models
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises

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