Functional Generalized Autoregressive Conditional Heteroskedasticity
From MaRDI portal
Publication:2954300
DOI10.1111/jtsa.12192zbMath1356.62133arXiv1509.03813OpenAlexW2167467896MaRDI QIDQ2954300
Lajos Horváth, Daniel F. Pellatt, Alexander Aue
Publication date: 12 January 2017
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.03813
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items
A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series, White noise testing for functional time series, Mixing conditions of conjugate processes, Testing serial independence with functional data, Risk analysis of cumulative intraday return curves, Sequential monitoring of high‐dimensional time series, Factor models for high‐dimensional functional time series I: Representation results, Volatility asymmetry in functional threshold GARCH model, Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions, Spatial correlation in weather forecast accuracy: a functional time series approach, A new approach for time domain analysis of multivariate and functional time series, Long-Range Dependent Curve Time Series, Functional ARCH and GARCH models: a Yule-Walker approach, Tests for conditional heteroscedasticity of functional data, High-dimensional functional time series forecasting: an application to age-specific mortality rates, Functional GARCH models: the quasi-likelihood approach and its applications, Inference for the autocovariance of a functional time series under conditional heteroscedasticity, Wavelet estimation of the dimensionality of curve time series, Change point analysis of covariance functions: a weighted cumulative sum approach
Cites Work
- Inference for functional data with applications
- Stationarity of GARCH processes and of some nonnegative time series
- Linear processes in function spaces. Theory and applications
- Generalized autoregressive conditional heteroscedasticity
- Weak invariance principles for sums of dependent random functions
- On weak invariance principles for sums of dependent random functionals
- Functional data analysis.
- A FUNCTIONAL VERSION OF THE ARCH MODEL
- Practical Issues in the Analysis of Univariate GARCH Models
- Multivariate GARCH Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On the Prediction of Stationary Functional Time Series
- Unnamed Item
