FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
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Publication:4512673
DOI10.1017/S0266466699156032zbMATH Open0961.62077MaRDI QIDQ4512673FDOQ4512673
Authors: Changli He, Timo Teräsvirta 
Publication date: 5 June 2001
Published in: Econometric Theory (Search for Journal in Brave)
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Cited In (35)
- On linear processes with dependent innovations
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
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- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- Simulated maximum likelihood in autoregressive models with stochastic volatility errors
- DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
- On the existence of higher-order moments of periodic GARCH models
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- Monitoring disruptions in financial markets
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
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- Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate GARCH\((p,q)\).
- Random coefficient GARCH models
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
- Nonstationary nonlinear heteroskedasticity.
- Stationarity and the existence of moments of a family of GARCH processes.
- Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
- Analysis of the correlation structure of square time series
- ARCH-type bilinear models with double long memory.
- Empirical process of the squared residuals of an ARCH sequence
- Volatility filtering in estimation of kurtosis (and variance)
- Stability of random coefficient ARCH models and aggregation schemes
- AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
- Least squares estimation of ARCH models with missing observations
- Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model
- Moments of the ARMA–EGARCH model
- Forecasting volatility
- Combining estimating functions for volatility
- Fourth-order moments of augmented arch processes
- Effects of level shifts and temporary changes on the estimation of GARCH models
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Break detection in the covariance structure of multivariate time series models
- A Heteroskedasticity-RobustF-Test Statistic for Individual Effects
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