Near-integrated GARCH sequences

DOI10.1214/105051604000000783zbMath1059.62092arXivmath/0503520OpenAlexW3101852111MaRDI QIDQ1774201

István Berkes, Lajos Horváth, Piotr S. Kokoszka

Publication date: 29 April 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503520

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (7)

Testing for randomness in a random coefficient autoregression model ⋮ On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions ⋮ Tests for Volatility Shifts in Garch Against Long‐Range Dependence ⋮ ARCH/GARCH with persistent covariate: asymptotic theory of MLE ⋮ Sequential monitoring for changes from stationarity to mild non-stationarity ⋮ NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES ⋮ Limit theory for moderate deviation from integrated GARCH processes

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Stationarity of GARCH processes and of some nonnegative time series
• Time series: theory and methods.
• Stability of random coefficient ARCH models and aggregation schemes
• ARCH models as diffusion approximations
• Modelling the persistence of conditional variances
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