STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

DOI10.1017/S0266466600161018zbMATH Open0986.60030OpenAlexW2053933740MaRDI QIDQ4954301FDOQ4954301

Authors: L. Giraitis, Remigijus Leipus, Piotr Kokoszka 

Publication date: 23 May 2002

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466600161018

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

zbMATH Keywords

central limit theoremstationary solutionARCH modelsmoving average representation

Mathematics Subject Classification ID

Economic time series analysis (91B84) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Cited In (92)

• Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes
• Rosenthal-type inequalities for the maximum of partial sums of stationary processes and examples
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Parameter estimation for ARTFIMA time series
• Multivariate versions of Bartlett's formula
• Rates of convergence in the central limit theorem for linear statistics of martingale differences
• The functional central limit theorem for a family of GARCH observations with applications
• Weak dependence, models and some applications
• Contrast estimation of time-varying infinite memory processes
• Generalised long-memory GARCH models for intra-daily volatility
• A new theorem on the existence of invariant distributions with applications to ARCH processes
• M-ESTIMATION IN GARCH MODELS
• Statistical inference for time-varying ARCH processes
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Testing for bubbles and change-points
• 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(\(\infty\)) models
• Generalized R-estimators under conditional heteroscedasticity
• On mixture memory GARCH models
• ON STATIONARITY IN THE ARCH(∞) MODEL
• Monitoring disruptions in financial markets
• A goodness-of-fit test for ARCH(\(\infty\)) models
• Pseudo‐likelihood estimation in ARCH models
• Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
• 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
• Rescaled variance and related tests for long memory in volatility and levels
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• Normalized least-squares estimation in time-varying ARCH models
• Semi- and nonparametric ARCH processes
• 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
• 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
• Tail and nontail memory with applications to extreme value and robust statistics
• A new covariance inequality and applications.
• ARCH-type bilinear models with double long memory.
• STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
• Adaptive density estimation for general ARCH models
• Estimating GARCH models: when to use what?
• Stability of random coefficient ARCH models and aggregation schemes
• Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
• 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(\(\infty\)) models
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• Covariance stationary GARCH-family models with long memory property
• Functional limit theorem for the empirical process of a class of Bernoulli shifts with long memory
• Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance
• Invariance principles for tempered fractionally integrated processes
• The stationary seasonal hyperbolic asymmetric power ARCH model
• On location estimation for LARCH processes
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• On the existence of some ARCH\((\infty)\)processes
• Extremal memory of stochastic volatility with an application to tail shape inference
• 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
• Identification, estimation and testing of conditionally heteroskedastic factor models
• On the Autocorrelation Properties of Long‐Memory GARCH 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
• Volatility processes and volatility forecast with long memory
• A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
• On the empirical process of tempered moving averages
• Tests for volatility shifts in GARCH against long-range dependence
• Functional weak limit theorem for a local empirical process of non-stationary time series and its application
• Asymptotic theory for regression models with fractional local to unity root errors
• Statistical inference for autoregressive models under heteroscedasticity of unknown form
• Weighted Dickey-Fuller processes for detecting stationarity
• Asymptotic theory for near integrated processes driven by tempered linear processes
• Title not available (Why is that?)
• Analysis of variance for high-dimensional time series
• Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• Structural adaptive smoothing procedures
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing
• Least squares estimation of ARCH models with missing observations
• Approximating volatilities by asymmetric power GARCH functions
• Discriminant analysis based on binary time series
• Variable selection for high-dimensional regression models with time series and heteroscedastic errors
• Bivariate integer-autoregressive process with an application to mutual fund flows
• Nonparametric estimation for dependent data

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)