Non‐linear GARCH models for highly persistent volatility

DOI10.1111/j.1368-423X.2005.00163.xzbMath1095.91046OpenAlexW3122299859WikidataQ56385113 ScholiaQ56385113MaRDI QIDQ5703229

Pentti Saikkonen, Markku Lanne

Publication date: 8 November 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00163.x

zbMATH Keywords

nonlinearityMarkov chainGARCHstationarity

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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Cites Work

• Markov chains and stochastic stability
• Stationarity of GARCH processes and of some nonnegative time series
• Mixing: Properties and examples
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS