Stability of random coefficient ARCH models and aggregation schemes

DOI10.1016/S0304-4076(03)00209-4zbMath1282.62198OpenAlexW2068904087MaRDI QIDQ2439054

Vytautas Kazakevičius, Remigijus Leipus, Marie-Claude Viano

Publication date: 7 March 2014

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00209-4

zbMATH Keywords

aggregationrandom coefficientslong memoryARCH(\(\infty\)) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Aggregation and memory of models of changing volatility ⋮ Aggregation of random-coefficient AR(1) process with infinite variance and common innovations ⋮ Semi- and nonparametric ARCH processes ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ From short to long memory: aggregation and estimation ⋮ AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS ⋮ On the ARCH model with random coefficients ⋮ 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 ⋮ Near-integrated GARCH sequences ⋮ Stationarity and functional central limit theorem for ARCH(\(\infty\)) models ⋮ Aggregation of autoregressive random fields and anisotropic long-range dependence ⋮ Limit Theorems for Aggregated Linear Processes

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