On the structure of generalized threshold ARCH processes

DOI10.1016/J.SPL.2009.12.012MaRDI QIDQ962013zbMATH OpenOpenAlexFDO

Authors E. Gonçalves, N. Mendes-Lopes

Publication date 1 April 2010

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

Full work available at URL https://doi.org/10.1016/j.spl.2009.12.012

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 597676 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A mathematical approach to detect the Taylor property in TARCH processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Convergence in distribution of products of random matrices
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Introduction to Time Series and Forecasting
• Properties of moments of a family of GARCH processes
• Recurrence properties of Processes with stationary independent increments
• Stationarity of GARCH processes and of some nonnegative time series
• Stationarity of Gtarch Processes
• Threshold heteroskedastic models

Cited in

(8)

• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Fourth-order moments of augmented arch processes
• On the distribution of generalized threshold ARCH stochastic processes
• On the finite dimensional laws of threshold GARCH processes
• Qualitative threshold ARCH models
• On the probabilistic structure of power threshold generalized ARCH stochastic processes
• Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
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