ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES

DOI10.1017/S0266466606060397zbMATH Open1100.62087OpenAlexW1964520514MaRDI QIDQ3408523FDOQ3408523

Publication date: 14 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060397

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Cites Work

Generalized autoregressive conditional heteroscedasticity
Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Quadratic ARCH Models
Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
Stationarity of GARCH processes and of some nonnegative time series
Regular variation of GARCH processes.
Properties of moments of a family of GARCH processes
Limit theory for bilinear processes with heavy-tailed noise
Stationarity and the existence of moments of a family of GARCH processes.
The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
Moving average conditional heteroskedastic processes

Cited In (24)

MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
Stationarity of a family of GARCH processes
Asymmetric GARCH processes featuring both threshold effect and bilinear structure
Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
\(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails
Robust estimation and inference for heavy tailed GARCH
On the distributional properties of GARCH processes
A note on some probabilistic properties of AACD models
Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
Title not available (Why is that?)
On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations
Stationarity and the existence of moments of a family of GARCH processes.
On the distribution of generalized threshold ARCH stochastic processes
Stationarity of stable power-GARCH processes.
Tail risk monotonicity in GARCH(1,1) models
A family of Markov-switching GARCH processes
On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
Stationarity domains for \(\delta\)-power GARCH process with heavy tails
The autocorrelation structure of the Markov-switching asymmetric power GARCH process
On the tvGARCH(1,1) model: existence, CLT, and tail index
Least tail-trimmed squares for infinite variance autoregressions

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