Contemporaneous asymmetry in GARCH processes

DOI10.1016/S0304-4076(00)00084-1zbMath0997.62084OpenAlexW2075320224WikidataQ127976621 ScholiaQ127976621MaRDI QIDQ5932779

Jean-Michel Zakoian, Mohamed El Babsiri

Publication date: 14 November 2002

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00084-1

zbMATH Keywords

conditional kurtosiscontemporaneous asymmetryFrench stock indexGARCHquasi-maximum likelihoodstationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (6)

Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness ⋮ Conditional correlation in asset return and GARCH intensity model ⋮ Tail behavior and dependence structure in the APARCH model ⋮ Weak dependence for infinite ARCH-type bilinear models ⋮ Testing the Martingale Difference Hypothesis ⋮ Asymptotic theory for QMLE for the real‐time GARCH(1,1) model

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