STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Recommendations

ON STATIONARITY IN THE ARCH(∞) MODEL
Stationarity and functional central limit theorem for ARCH(\(\infty\)) models
scientific article; zbMATH DE number 3958501
On the existence of some ARCH\((\infty)\)processes
ARCH(∞) Models and Long Memory Properties

Cited in

(92)

Nonparametric estimation for dependent data
A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
Rosenthal-type inequalities for the maximum of partial sums of stationary processes and examples
On the empirical process of tempered moving averages
Parameter estimation for ARTFIMA time series
Multivariate versions of Bartlett's formula
Tests for volatility shifts in GARCH against long-range dependence
Rates of convergence in the central limit theorem for linear statistics of martingale differences
Functional weak limit theorem for a local empirical process of non-stationary time series and its application
The functional central limit theorem for a family of GARCH observations with applications
Weak dependence, models and some applications
Asymptotic theory for regression models with fractional local to unity root errors
Generalised long-memory GARCH models for intra-daily volatility
Contrast estimation of time-varying infinite memory processes
Statistical inference for autoregressive models under heteroscedasticity of unknown form
Testing for bubbles and change-points
On fractional Lévy processes: tempering, sample path properties and stochastic integration
A new theorem on the existence of invariant distributions with applications to ARCH processes
Statistical inference for time-varying ARCH processes
M-ESTIMATION IN GARCH MODELS
Weighted Dickey-Fuller processes for detecting stationarity
Asymptotic theory for near integrated processes driven by tempered linear processes
Minimum alpha-divergence estimation for arch models
On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
A goodness-of-fit test for ARCH() models
Generalized R-estimators under conditional heteroscedasticity
Monitoring disruptions in financial markets
ON STATIONARITY IN THE ARCH(∞) MODEL
On mixture memory GARCH models
scientific article; zbMATH DE number 2098670 (Why is no real title available?)
Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
A goodness-of-fit test for ARCH(\(\infty\)) models
Pseudo‐likelihood estimation in ARCH models
Asymptotics of rank order statistics for ARCH residual empirical processes.
Testing for parameter changes in ARCH models
On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory
Analysis of variance for high-dimensional time series
Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
Rescaled variance and related tests for long memory in volatility and levels
Semi- and nonparametric ARCH processes
Normalized least-squares estimation in time-varying ARCH models
On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
A new hyperbolic GARCH model
A model for long memory conditional heteroscedasticity.
GARCH Model Estimation Using Estimated Quadratic Variation
The functional central limit theorem for ARMA-GARCH processes
Aggregation of the random coefficient GLARCH(1,1) process
Structural adaptive smoothing procedures
Conditional asymmetry in power ARCH\((\infty)\) models
On approximate pseudo-maximum likelihood estimation for LARCH-processes
Strict stationarity and functional central limit theorem for ARCH/GARCH models
A new covariance inequality and applications.
Tail and nontail memory with applications to extreme value and robust statistics
On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
ARCH-type bilinear models with double long memory.
STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
Adaptive density estimation for general ARCH models
Stability of random coefficient ARCH models and aggregation schemes
Estimating GARCH models: when to use what?
Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
Tempered fractional Brownian motion: wavelet estimation, modeling and testing
Asymptotic results for long memory LARCH sequences
Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes
Long run behaviour of the autocovariance function of ARCH() models
Least squares estimation of ARCH models with missing observations
Approximating volatilities by asymmetric power GARCH functions
Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
Covariance stationary GARCH-family models with long memory property
Discriminant analysis based on binary time series
Functional limit theorem for the empirical process of a class of Bernoulli shifts with long memory
Variable selection for high-dimensional regression models with time series and heteroscedastic errors
Invariance principles for tempered fractionally integrated processes
Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance
The stationary seasonal hyperbolic asymmetric power ARCH model
Extremal memory of stochastic volatility with an application to tail shape inference
On location estimation for LARCH processes
Asymptotic efficiency of conditional least squares estimators for ARCH models
On the existence of some ARCH\((\infty)\)processes
Weakly dependent functional data
The \(L^2\)-structures of standard and switching-regime GARCH models
Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
Mixing properties of ARCH and time-varying ARCH processes
On the tvGARCH(1,1) model: existence, CLT, and tail index
Statistical estimation errors of VaR under ARCH returns
Stationarity and functional central limit theorem for ARCH(\(\infty\)) models
On the Autocorrelation Properties of Long‐Memory GARCH Processes
Identification, estimation and testing of conditionally heteroskedastic factor models
Bivariate integer-autoregressive process with an application to mutual fund flows
Volatility processes and volatility forecast with long memory

This page was built for publication: STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4954301)