Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models

DOI10.3982/ECTA9405zbMATH Open1274.62590OpenAlexW1877414726MaRDI QIDQ2859073FDOQ2859073

Authors: Jean-Michel Zakoïan, C. Francq 

Publication date: 6 November 2013

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta9405

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zbMATH Keywords

quasi-maximum likelihood estimationnonstationarityGARCH modelinconsistency of estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Cited In (44)

• Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
• Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• The impact of stationarity assessment on studies of volatility and value-at-risk.
• Explosive strong periodic autoregression with multiplicity one
• Generalized autoregressive moving average models with GARCH errors
• Random coefficient continuous systems: testing for extreme sample path behavior
• Strict stationarity testing and GLAD estimation of double autoregressive models
• Hybrid quantile estimation for asymmetric power GARCH models
• Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
• On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
• Coupled GARCH(1,1) model
• Testing for strict stationarity in a random coefficient autoregressive model
• On dynamics of volatilities in nonstationary GARCH models
• Quadratic random coefficient autoregression with linear-in-parameters volatility
• Statistical inference for mixture GARCH models with financial application
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
• Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
• Estimation and strict stationarity testing of ARCH processes based on weighted least squares
• Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
• Testing for randomness in a random coefficient autoregression model
• Multifrequency-Band Tests for White Noise Under Heteroscedasticity
• Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
• Renorming volatilities in a family of GARCH models
• Limit theory for moderate deviation from integrated GARCH processes
• Nonstationary GARCH with \(t\)-distributed innovations
• GARCH with omitted persistent covariate
• The ZD-GARCH model: a new way to study heteroscedasticity
• Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
• Testing the existence of moments for GARCH processes
• Root-\(T\) consistent density estimation in GARCH models
• Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
• An ARCH model without intercept
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
• Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
• Testing the equality of the laws of two strictly stationary processes
• Monitoring procedures for strict stationarity based on the multivariate characteristic function
• Testing for strict stationarity via the discrete Fourier transform
• QMLE for periodic absolute value GARCH models
• Inference in nonstationary asymmetric GARCH models
• Asymptotic inference of unstable periodic ARCH processes
• Oracally efficient estimation and testing for an ARCH model with trend

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