Aggregation of the random coefficient GLARCH(1,1) process

DOI10.1017/S026646660910004XMaRDI QIDQ3557547zbMATH OpenFDO

Authors L. Giraitis, Remigijus Leipus, Donatas Surgailis

Publication date 23 April 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S026646660910004X

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• Aggregation in ARCH models
• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
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• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

Cited in

(12)

• Aggregation in ARCH models
• Asymptotic behavior of weakly dependent aggregated processes
• Anisotropic scaling limits of long-range dependent random fields
• Stability of random coefficient ARCH models and aggregation schemes
• Spline estimation of a semiparametric GARCH model
• Limit theorems for aggregated linear processes
• Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
• Aggregation and long memory: recent developments
• Aggregation of autoregressive random fields and anisotropic long-range dependence
• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Joint aggregation of random-coefficient AR(1) processes with common innovations

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