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
• 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

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