Threshold \(\text{Arch}(1)\) processes: Asymptotic inference

DOI10.1016/S0167-7152(00)00222-4zbMath0980.62080OpenAlexW2148606244MaRDI QIDQ5952056

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Publication date: 6 March 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00222-4

zbMATH Keywords

financial time seriesgeometric ergodicityconditional least-squaresfinancial data in Koreathreshold ARCH

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (13)

Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters ⋮ Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Stability of nonlinear AR-GARCH models ⋮ A Family of Markov‐Switching Garch Processes ⋮ Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process ⋮ A simple additivity test for conditionally heteroscedastic nonlinear autoregression ⋮ Stability and the Lyapounov exponent of threshold AR-ARCH models ⋮ Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes ⋮ Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models ⋮ On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process ⋮ Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model ⋮ Stationarity of a family of GARCH processes

Cites Work

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• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

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