MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

DOI10.1017/S0266466602181023zbMATH Open1181.62125OpenAlexW2056075622MaRDI QIDQ4807280FDOQ4807280

Authors: Marine Carrasco, Xiaohong Chen 

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466602181023

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (only showing first 100 items - show all)

• A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence
• A white noise test under weak conditions
• Mildly explosive autoregression with mixing innovations
• Asymptotics for semi-strong augmented GARCH(1,1) model
• Adaptive wavelet estimation of a biased density for strongly mixing sequences
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Wavelet estimation of a density in a GARCH-type model
• Nonparametric density estimation for positive time series
• Bounds for the probability distribution function of the linear ACD process
• Local M-estimation with discontinuous criterion for dependent and limited observations
• Modeling tails of aggregate economic processes in a stochastic growth model
• Mixing properties of integer-valued GARCH processes
• Testing for strict stationarity in a random coefficient autoregressive model
• Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions
• A max-correlation white noise test for weakly dependent time series
• Large deviations of kernel density estimator in \(L^1(\mathbb R^d)\) for uniformly ergodic Markov processes
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models
• Robust estimation and inference for heavy tailed GARCH
• Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns
• THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• An extreme value analysis of the last century crises across industries in the U.S. economy
• A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables
• Wavelet estimation for derivative of a density in a GARCH-type model
• Conditional rotation between forecasting models
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• Pricing kernel estimation: a local estimating equation approach
• Robust score and portmanteau tests of volatility spillover
• STATIONARITY AND β-MIXING PROPERTY OF A MIXTURE AR-ARCH MODELS
• Estimating beta-mixing coefficients via histograms
• A GMM procedure for combining volatility forecasts
• Adaptive density estimation for general ARCH models
• Deciding between GARCH and stochastic volatility via strong decision rules
• A multivariate conditional autoregressive range model
• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
• Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Testing for unobserved heterogeneity in exponential and Weibull duration models
• Testing instantaneous linear Granger causality in presence of nonlinear dynamics
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions
• Test for Parameter Change in ARIMA Models
• Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
• Estimation of average treatment effects with panel data: asymptotic theory and implementation
• Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
• Extremal memory of stochastic volatility with an application to tail shape inference
• Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data
• Distributional analysis of empirical volatility in GARCH processes
• Estimation and inference in unstable nonlinear least squares models
• Local GMM estimation of time series models with conditional moment restrictions
• Powerful tests for structural changes in volatility
• Semi-parametric estimation of American option prices
• Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients
• On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models
• On the large-sample behavior of two estimators of the conditional copula under serially dependent data
• Bootstrap unit root tests in models with GARCH(1,1) errors
• Joint extremal behavior of hidden and observable time series with applications to GARCH processes
• Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
• Inference for performance measures for financial assets
• An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls
• Statistical inference for autoregressive models under heteroscedasticity of unknown form
• Location multiplicative error models with quasi maximum likelihood estimation
• Quantifying the data-dredging bias in structural break tests
• An improved method for forecasting spare parts demand using extreme value theory
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Absolute regularity of semi-contractive GARCH-type processes
• Limit laws in transaction-level asset price models
• A nonparametric test for a constant correlation matrix
• Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples
• A coupled component DCS-EGARCH model for intraday and overnight volatility
• On the estimation of density-weighted average derivative by wavelet methods under various dependence structures
• Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
• Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
• Synthetic learner: model-free inference on treatments over time
• A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests
• Econometric analysis of volatility component models
• Spline estimation of a semiparametric GARCH model
• Inference procedures for stable-Paretian stochastic volatility models
• Extreme value distribution of a recursive-type detector in linear model
• Interval estimation for the Sortino ratio and the Omega ratio
• An almost closed form estimator for the EGARCH model
• A copula spectral test for pairwise time reversibility
• Confidence regions for entries of a large precision matrix
• Dating multiple change points in the correlation matrix
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• Optimal change-point estimation in time series
• On the Markov-switching bilinear processes: stationarity, higher-order moments and \(\beta\)-mixing
• Nonparametric estimation and inference for conditional density based Granger causality measures
• Predictive quantile regressions under persistence and conditional heteroskedasticity
• Nonparametric multidimensional fixed effects panel data models
• Estimation of a cumulative distribution function under interval censoring ``case 1 via warped wavelets
• Nonparametric filtering of conditional state-price densities
• Bootstrap determination of the co-integration rank in heteroskedastic VAR models
• Approximating volatilities by asymmetric power GARCH functions
• Testing linear causality in mean when the number of estimated parameters is high
• Uniformly strong consistency and Berry-Esseen bound of frequency polygons for α-mixing samples
• Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
• Assessing time-reversibility under minimal assumptions

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