Recent advances in ARCH modelling

MaRDI QIDQ3400722zbMATH OpenFDO

Authors L. Giraitis, Remigijus Leipus, Donatas Surgailis

Publication date 5 February 2010

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• ARCH(∞) Models and Long Memory Properties
• STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
• A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares
• On Asymptotic Theory for ARCH (∞) Models
• Stationary integrated ARCH() and AR() processes with finite variance

Cited in

(32)

• Augmented GARCH sequences: Dependence structure and asymptotics
• Covariance stationary GARCH-family models with long memory property
• Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
• ARCH model and fractional Brownian motion
• The impulse response function of the long memory GARCH process
• On the ARCH model with stationary liquidity
• Estimation pitfalls when the noise is not i.i.d.
• Normalized least-squares estimation in time-varying ARCH models
• Stability of random coefficient ARCH models and aggregation schemes
• Detection of multiple change-points in multivariate time series
• \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes
• A complete asymptotic series for the autocovariance function of a long memory process
• scientific article; zbMATH DE number 2127913 (Why is no real title available?)
• BL-GARCH models with elliptical distributed innovations
• A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares
• ARCH(∞) Models and Long Memory Properties
• Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
• scientific article; zbMATH DE number 1944323 (Why is no real title available?)
• Stationary integrated ARCH() and AR() processes with finite variance
• scientific article; zbMATH DE number 2152219 (Why is no real title available?)
• Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
• A generalized nonlinear model for long memory conditional heteroscedasticity
• The statistical properties of the innovations in multivariate ARCH processes in high dimensions
• A functional limit theorem for \(\eta \)-weakly dependent processes and its applications
• Mixing properties of ARCH and time-varying ARCH processes
• Some results on random design regression with long memory errors and predictors
• Non-negativity conditions for the hyperbolic GARCH model
• Probability and moment inequalities for sums of weakly dependent random variables, with applications
• The functional central limit theorem for a family of GARCH observations with applications
• Testing for bubbles and change-points

This page was built for publication: Recent advances in ARCH modelling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3400722)