On the ARCH model with random coefficients

DOI10.1016/J.CRMA.2007.11.023MaRDI QIDQ2472996zbMATH OpenOpenAlexFDO

Authors Abdelouahab Bibi, M. Bousseboua

Publication date 25 February 2008

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2007.11.023

Mathematics Subject Classification ID

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

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ON THE EXISTENCE OF A GENERAL MULTIPLE BILINEAR TIME SERIES
• Products of Random Matrices
• Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
• Random coefficient GARCH models
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Stability of random coefficient ARCH models and aggregation schemes
• Stationarity of GARCH processes and of some nonnegative time series

Cited in

(14)

• A simple multivariate ARCH model specified by random coefficients
• Aggregation in ARCH models
• On the ARCH model with stationary liquidity
• Stability of random coefficient ARCH models and aggregation schemes
• Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
• ARCH models as diffusion approximations
• On the Autoregressive Model with Random Coefficients
• Strong law of large numbers for absolute value sequences from varying-coefficient ARCH models
• A GARCH model with random parameters
• scientific article; zbMATH DE number 1054377 (Why is no real title available?)
• A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models
• On Asymptotic Theory for ARCH (∞) Models
• Random coefficient autoregressive processes and the PUCK model with fluctuating potential
• Random autoregressive models: a structured overview

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