Some statistical results on autoregressive conditionally heteroscedastic models

DOI10.1016/S0378-3758(97)00141-9zbMath0942.62113MaRDI QIDQ1299538

Esmeralda Gonçalves, Nazaré Mendes Lopes

Publication date: 24 August 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

white noisestationarityforecastingARMA modelsconditionally heteroscedastic time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Parametric hypothesis testing (62F03)

Related Items (2)

A Decision Procedure for Bilinear Time Series Based on the Asymptotic Separation ⋮ Parameter Estimation in Conditional Heteroscedastic Models

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• A new test for ARMA models with errors following a general white noise process
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stationarity of Gtarch Processes
• Threshold heteroskedastic models
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