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)

• 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
• Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
• Flexible Fourier form for volatility breaks
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Estimation and inference in factor copula models with exogenous covariates
• Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
• On linear processes with dependent innovations
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes
• Delay time in sequential detection of change
• A family of autoregressive conditional duration models
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Nonparametric estimation of conditional VaR and expected shortfall
• Wavelet-based estimation of regression function for dependent biased data under a given random design
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence
• Adaptive estimation of an additive regression function from weakly dependent data
• Archimedean copulas and temporal dependence
• Let's get LADE: robust estimation of semiparametric multiplicative volatility models
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• Cross-validated SNP density estimates
• The functional central limit theorem for a family of GARCH observations with applications
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
• Kernel estimation of hazard functions when observations have dependent and common covariates
• A new fluctuation test for constant variances with applications to finance
• Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data
• Asymptotic spectral theory for nonlinear time series
• Graphical modelling of multivariate time series
• The common and specific components of dynamic volatility
• Learning near-optimal policies with Bellman-residual minimization based fitted policy iteration and a single sample path
• Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
• Nonlinear models for strongly dependent processes with financial applications
• Quality control for structural credit risk models
• Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications
• HAC estimation and strong linearity testing in weak ARMA models
• Non‐linear GARCH models for highly persistent volatility
• Evaluating GARCH models.
• Functional-coefficient models for nonstationary time series data
• Asymptotics for parametric GARCH-in-mean models
• Risk minimization for time series binary choice with variable selection
• Efficient estimation in dynamic conditional quantile models
• Nonparametric tests for conditional independence using conditional distributions
• Testing for a change in correlation at an unknown point in time using an extended functional delta method
• On the adaptive wavelet deconvolution of a density for strong mixing sequences
• Strong approximation for the sums of squares of augmented GARCH sequences
• The functional central limit theorem for ARMA-GARCH processes
• A note on wavelet density deconvolution for weakly dependent data
• Monitoring shifts in mean: asymptotic normality of stopping times
• Nonparametric inference for conditional quantiles of time series
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

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