Time series properties of ARCH processes with persistent covariates

DOI10.1016/J.JECONOM.2008.08.016MaRDI QIDQ299219zbMATH OpenOpenAlexFDO

Authors Heejoon Han, Joon Y. Park

Publication date 22 June 2016

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

Full work available at URL https://mpra.ub.uni-muenchen.de/5199/1/MPRA_paper_5199.pdf

zbMATH Keywords

nonstationaritynonlinearityvolatility persistenceARCHleptokurtosispersistent covariate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3103039 (Why is no real title available?)
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Long memory and regime switching
• Modeling and Forecasting Realized Volatility
• Modeling volatility persistence of speculative returns: a new approach
• Nonlinear Regressions with Integrated Time Series
• Nonstationary nonlinear heteroskedasticity.
• Testing for a unit root in time series regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• What good is a volatility model?

Cited in

(9)

• Nonparametric cointegrating regression with NNH errors
• Semi-parametric estimation and forecasting for exogenous log-GARCH models
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• Testing for local covariate trend effects in volatility models
• Nonparametric testing for long-horizon predictability with persistent covariates
• Semiparametric inference in a GARCH-in-mean model
• Level changes in volatility models
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• scientific article; zbMATH DE number 2152222 (Why is no real title available?)

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