FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
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Publication:4512673
DOI10.1017/S0266466699156032zbMath0961.62077MaRDI QIDQ4512673
Publication date: 5 June 2001
Published in: Econometric Theory (Search for Journal in Brave)
Related Items (28)
Monitoring disruptions in financial markets ⋮ DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS ⋮ Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models ⋮ A Heteroskedasticity-RobustF-Test Statistic for Individual Effects ⋮ Testing for Granger causality in variance in the presence of causality in mean ⋮ Stability of random coefficient ARCH models and aggregation schemes ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ Least squares estimation of ARCH models with missing observations ⋮ On linear processes with dependent innovations ⋮ ARCH-type bilinear models with double long memory. ⋮ Effects of level shifts and temporary changes on the estimation of GARCH models ⋮ Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models ⋮ Analysis of the correlation structure of square time series ⋮ A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL ⋮ Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model ⋮ The fine-structure of volatility feedback. I: Multi-scale self-reflexivity ⋮ Volatility filtering in estimation of kurtosis (and variance) ⋮ Combining estimating functions for volatility ⋮ ARCH/GARCH with persistent covariate: asymptotic theory of MLE ⋮ Moments of the ARMA–EGARCH model ⋮ Kurtosis of GARCH and stochastic volatility models with non-normal innovations ⋮ Break detection in the covariance structure of multivariate time series models ⋮ Properties of moments of a family of GARCH processes ⋮ Empirical process of the squared residuals of an ARCH sequence ⋮ Forecasting volatility ⋮ Stationarity and the existence of moments of a family of GARCH processes. ⋮ Nonstationary nonlinear heteroskedasticity. ⋮ Random coefficient GARCH models
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