Fractionally integrated time varying GARCH model
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Cites work
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
- A nonlinear long memory model, with an application to US unemployment.
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Changes of structure in financial time series and the GARCH model
- Common Persistence in Conditional Variances
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Evaluating GARCH models.
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- Maximum Likelihood Estimation of Misspecified Models
- Modeling and pricing long memory in stock market volatility
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Modelling the persistence of conditional variances
- On the Autocorrelation Properties of Long‐Memory GARCH Processes
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Seasonal nonlinear long memory model for the US inflation rates
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing linearity against smooth transition autoregressive models
- Testing the adequacy of smooth transition autoregressive models
- Testing the constancy of regression parameters against continuous structural change
- The detection and estimation of long memory in stochastic volatility
Cited in
(9)- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Seasonal FIEGARCH processes
- The estimation of time varying volatility based on the long stock return series with its application
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
- The time-varying GARCH-in-mean model
- Optimal alarm systems for FIAPARCH processes
- Modelling volatility by variance decomposition
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
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