Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.

DOI10.1016/j.spa.2003.11.001zbMath1075.62081OpenAlexW1970373309MaRDI QIDQ2574642

Sun Young Hwang, Tae Yoon Kim

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2003.11.001

zbMATH Keywords

ergodicitythreshold ARCHpower transformationsemiparametric teststests for ARCH structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (26)

Estimation and tests for power-transformed and threshold GARCH models ⋮ Power periodic threshold GARCH model: Structure and estimation ⋮ Local asymptotic normality for long-memory process with strong mixing noises ⋮ Autoregressive processes with generalized hyperbolic innovations ⋮ Uniformly strong consistency and Berry-Esseen bound of frequency polygons for α-mixing samples ⋮ Inference in nonstationary asymmetric GARCH models ⋮ Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models ⋮ Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach ⋮ Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors ⋮ Feasible optimum Godambe scores for a semi-parametric GARCH time series ⋮ Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series ⋮ Semiparametric efficient adaptive estimation of the GJR-GARCH model ⋮ Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions ⋮ Non-ergodic martingale estimating functions and related asymptotics ⋮ Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality ⋮ Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes ⋮ Stationarity and geometric ergodicity of a class of nonlinear ARCH models ⋮ QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes ⋮ Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes ⋮ A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables ⋮ Test for tail index constancy of GARCH innovations based on conditional volatility ⋮ MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS ⋮ Estimation of multivariate asymmetric power GARCH models ⋮ Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations ⋮ Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes ⋮ Hybrid quantile estimation for asymmetric power GARCH models

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