On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process

DOI10.1016/J.SPL.2006.01.009zbMath1096.60018OpenAlexW2081480433MaRDI QIDQ2497786

Ji-Chun Liu

Publication date: 4 August 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.01.009

zbMATH Keywords

heavy-tail distributionBox-Cox transformationstrict stationarityexistence of moments

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Stochastic stability in control theory (93E15)

Related Items (8)

Estimation and tests for power-transformed and threshold GARCH models ⋮ The autocorrelation structure of the Markov-switching asymmetric power GARCH process ⋮ Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process ⋮ Semiparametric efficient adaptive estimation of the GJR-GARCH model ⋮ Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes ⋮ Persistent-threshold-GARCH processes: model and application ⋮ Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes ⋮ A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors

Cites Work

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• Stationarity of GARCH processes and of some nonnegative time series
• Limit theory for bilinear processes with heavy-tailed noise
• Regular variation of GARCH processes.
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Generalized autoregressive conditional heteroscedasticity
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference

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