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

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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)

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• 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
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• 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
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• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
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• GARCH Model Estimation Using Estimated Quadratic Variation
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• Aggregation of the random coefficient GLARCH(1,1) process
• Conditional asymmetry in power ARCH\((\infty)\) models
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• Strict stationarity and functional central limit theorem for ARCH/GARCH models
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• ARCH-type bilinear models with double long memory.
• STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
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• 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
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• 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

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