Nonstationary nonlinear heteroskedasticity.

DOI10.1016/S0304-4076(02)00100-8zbMath1044.62096OpenAlexW2051326187MaRDI QIDQ1858976

Joon Y. Park

Publication date: 17 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00100-8

zbMATH Keywords

nonlinearityARCHconditional heteroskedasticitynonstationarityvolatility clusteringleptokurtosis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) 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)

Related Items (16)

Nonstationary nonlinear heteroskedasticity in regression ⋮ Time series properties of ARCH processes with persistent covariates ⋮ Testing for a change in persistence in the presence of non-stationary volatility ⋮ Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory ⋮ Nonlinearity Induced Weak Instrumentation ⋮ Testing heteroskedasticity for predictive regressions with nonstationary regressors ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ A reexamination of stock return predictability ⋮ ARCH/GARCH with persistent covariate: asymptotic theory of MLE ⋮ Partial parametric estimation for nonstationary nonlinear regressions ⋮ Nonstationary nonlinear quantile regression ⋮ Testing for a unit root with nonstationary nonlinear heteroskedasticity ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

Cites Work

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• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonlinear Regressions with Integrated Time Series
• Regression with Nonstationary Volatility

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