Aggregation in ARCH models

DOI10.1023/A:1015021801709zbMath1012.62095MaRDI QIDQ1873237

Remigijus Leipus, Marie-Claude Viano

Publication date: 19 May 2003

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

aggregationrandom coefficientsARCH modelsGARCH(1,1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (8)

Aggregation of random-coefficient AR(1) process with infinite variance and common innovations ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ Stability of random coefficient ARCH models and aggregation schemes ⋮ AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS ⋮ Aggregation of a random-coefficient ar(1) process with infinite variance and idiosyncratic innovations ⋮ Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients. ⋮ Contemporaneous aggregation of GARCH processes ⋮ Limit Theorems for Aggregated Linear Processes

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