NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
From MaRDI portal
Publication:4807307
Recommendations
- On the existence of higher-order moments of periodic GARCH models
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
- Stationarity and the existence of moments of a family of GARCH processes.
- Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate GARCH\((p,q)\).
- scientific article; zbMATH DE number 1960952
Cited in
(67)- Augmented GARCH sequences: Dependence structure and asymptotics
- Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
- A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
- The second moment and the autocovariance function of the squared errors of the GARCH model
- Modelling the asymmetric volatility of electronics patents in the USA.
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Nonlinear modelling and forecasting of S\& P 500 volatility
- Stationarity and the existence of moments of a family of GARCH processes.
- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
- Forecasting volatility in bitcoin market
- Testing the existence of moments for GARCH processes
- Consistent order selection for ARFIMA processes
- Currency hedging strategies using dynamic multivariate GARCH
- Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
- GFC-robust risk management under the Basel accord using extreme value methodologies
- A detailed comparison of value at risk estimates
- A stochastic dominance approach to financial risk management strategies
- Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test
- GARCH models without positivity constraints: exponential or log GARCH?
- Asymptotic spectral theory for nonlinear time series
- On linear processes with dependent innovations
- Comparative analysis of risk ratings for the East European region
- Related commodity markets and conditional correlations
- Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
- The \(L^2\)-structures of standard and switching-regime GARCH models
- On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
- An econometric analysis of asymmetric volatility: theory and application to patents
- Unit root testing in the presence of heavy-tailed GARCH errors
- Approximating volatilities by asymmetric power GARCH functions
- Asymptotic properties of weighted least squares estimation in weak PARMA models
- GARCH options via local risk minimization
- Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Delay times of sequential procedures for multiple time series regression models
- A decision rule to minimize daily capital charges in forecasting value-at-risk
- Bartlett's formula for a general class of nonlinear processes
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate GARCH\((p,q)\).
- Nonstationarity-extended Whittle estimation
- A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
- USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
- Renorming volatilities in a family of GARCH models
- Asymptotic theory for a vector ARMA-GARCH model
- On dynamics of volatilities in nonstationary GARCH models
- MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
- Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
- Mixed Portmanteau Tests for Time‐Series Models
- Self-similarity in financial markets: a fractionally integrated approach
- Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
- Negative moment bounds for sample autocovariance matrices of stationary processes driven by conditional heteroscedastic errors and their applications
- Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity
- Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models
- A data-driven P-spline smoother and the P-Spline-GARCH models
- A bootstrap-assisted spectral test of white noise under unknown dependence
- Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
- Multivariate volatility in environmental finance
- Portfolio single index (PSI) multivariate conditional and stochastic volatility models
- How has volatility in metals markets changed?
- Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach
- The functional central limit theorem for a family of GARCH observations with applications
- On the existence of higher-order moments of periodic GARCH models
- A double-threshold GARCH model of stock market and currency shocks on stock returns
- Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
This page was built for publication: NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4807307)