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)

• 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
• ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
• Kernel density estimator for strong mixing processes
• Tail and nontail memory with applications to extreme value and robust statistics
• Augmented GARCH sequences: Dependence structure and asymptotics
• Self-normalized Cramér-type moderate deviations under dependence
• Splines for financial volatility
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• Nonparametric volatility density estimation for discrete time models
• Local linear fitting under near epoch dependence: uniform consistency with convergence rates
• Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
• Change‐point monitoring in linear models
• AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
• Minimum distance estimation of GARCH(1,1) models
• Delay times of sequential procedures for multiple time series regression models
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
• Duration time-series models with proportional hazard
• A bootstrapped spectral test for adequacy in weak ARMA models
• Break detection in the covariance structure of multivariate time series models
• β-mixing and moment properties of RCA models with application to GARCH(p,q)
• Subsampling the mean of heavy‐tailed dependent observations
• A multivariate version of Hoeffding's phi-square
• Mixing properties of ARCH and time-varying ARCH processes
• Least tail-trimmed squares for infinite variance autoregressions
• Stability of nonlinear AR-GARCH models
• A note on application of integral operator in learning theory
• Discussion on: ``Bootstrap methods for dependent data: a review
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• Local linear fitting under near epoch dependence
• 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

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