Mildly explosive autoregression under stationary conditional heteroskedasticity

DOI10.1111/JTSA.12410MaRDI QIDQ4556516zbMATH OpenOpenAlexFDO

Authors Stelios Arvanitis, Tassos Magdalinos

Publication date 16 November 2018

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://eprints.soton.ac.uk/420957/1/AM2_Magdalinos.pdf

zbMATH Keywords

Cauchy distributioncentral limit theoryconditional heteroskedasticityexplosive autoregressionGARCHlong memorymixingale

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) (L^p)-limit theorems (60F25) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Limit theory for explosive autoregression under conditional heteroskedasticity
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• Asymptotic properties of mildly explosive processes with locally stationary disturbance
• A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• Nonstationary nonlinear heteroskedasticity in regression
• Double asymptotics for explosive continuous time models
• A limit theorem for mildly explosive autoregression with stable errors
• On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
• Mildly explosive autoregression under weak and strong dependence
• Testing for explosive bubbles: a review
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Mildly explosive autoregression with mixing innovations
• Weighted composite quantile inference for nearly nonstationary autoregressive models
• Weakly adaptive estimators in explosive autoregression

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