Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes

DOI10.1080/02331880802172818zbMATH Open1278.62144OpenAlexW2000616524MaRDI QIDQ3396477FDOQ3396477

Authors:

Publication date: 18 September 2009

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880802172818

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zbMATH Keywords

sample autocorrelationsjoint asymptotic distributionsquared processthreshold-asymmetric GARCH

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Title not available (Why is that?)
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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• Estimation and tests for power-transformed and threshold GARCH models
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• Parameter estimation in a regression model with random coefficient autoregressive errors
• On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling

Cited In (5)

• Asymmetric GARCH processes featuring both threshold effect and bilinear structure
• Persistent-threshold-GARCH processes: model and application
• A note on Jarque-Bera normality test for ARMA-GARCH innovations
• Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations

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