Publication:4407617
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zbMath1026.62113MaRDI QIDQ4407617
Thomas Mikosch, Cătălin Stărică
Publication date: 15 December 2003
mixing; ARCH; GARCH; long-range dependence; IGARCH; sample autocorrelation function; persistence in variance
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G10: Stationary stochastic processes
60G70: Extreme value theory; extremal stochastic processes
60J05: Discrete-time Markov processes on general state spaces
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Mixing properties of ARCH and time-varying ARCH processes, Spurious correlation under fractional integration in output series, Dynamic detection of change points in long time series, Testing for parameter constancy in GARCH\((p,q)\) models, Near-integrated GARCH sequences, The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains, Normalized least-squares estimation in time-varying ARCH models, A recursive online algorithm for the estimation of time-varying ARCH parameters, Detection of multiple change-points in multivariate time series, The increment ratio statistic, On discriminating between long-range dependence and changes in mean, Fractional integrated GARCH diffusion limit models
Uses Software
