Joint modeling of cointegration and conditional heteroscedasticity with applications

DOI10.1007/BF02506881zbMATH Open1083.62097MaRDI QIDQ816593FDOQ816593

Authors: Heung Wong, Shiquing Ling, Wai Keung Li 

Publication date: 9 March 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

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zbMATH Keywords

tablespartially nonstationaryvector AR-GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Statistical analysis of cointegration vectors
• Asymptotic theory for a vector ARMA-GARCH model
• Modelling the persistence of conditional variances
• On a multivariate conditional heteroscedastic model
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Conditional Heteroscedastic Time Series Models
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• Cointegration tests with conditional heteroskedasticity.
• Title not available (Why is that?)

Cited In (9)

• Estimation of cointegrated models with exogenous variables
• A portmanteau test for multivariate GARCH when the conditional mean is an ECM: theory and empirical applications
• Adaptive Testing for Cointegration With Nonstationary Volatility
• Heteroskedastic cointegration
• Fundamentals and technical trading: Behavior of exchange rates in the CEECs
• Forecasting in financial and sports gambling markets. Adaptive drift modeling.
• Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
• Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries
• Basket trading under co-integration with the logistic mixture autoregressive model

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