On the ARCH model with stationary liquidity

DOI10.1007/S00184-020-00779-XMaRDI QIDQ2227202zbMATH OpenOpenAlexFDO

Authors Marko Voutilainen, Pauliina Ilmonen, Soledad Torres, Ciprian A. Tudor, Lauri Viitasaari

Publication date 10 February 2021

Published in Metrika (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00184-020-00779-x

zbMATH Keywords

stationarityconsistencyestimationARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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Cites work

• ARCH model and fractional Brownian motion
• Analysis of variations for self-similar processes. A stochastic calculus approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• EGARCH Model with Weighted Liquidity
• Existence of moments in a stationary stochastic difference equation
• Generalized autoregressive conditional heteroscedasticity
• Introduction to time series.
• Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise
• Long-term memory and applying the multi-factor ARFIMA models in financial markets
• Note on AR(1)-characterisation of stationary processes and model fitting
• On model Fitting and estimation of strictly stationary processes
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Time series: theory and methods.

Cited in

(4)

• Note on AR(1)-characterisation of stationary processes and model fitting
• Parameter estimation in the ARCH model with weighted liquidity
• EGARCH Model with Weighted Liquidity
• On the computation of LOT liquidity measure

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