Time series properties of ARCH processes with persistent covariates

DOI10.1016/j.jeconom.2008.08.016zbMath1429.62398OpenAlexW2149930406MaRDI QIDQ299219

Joon Y. Park, Heejoon Han

Publication date: 22 June 2016

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/5199/1/MPRA_paper_5199.pdf

zbMATH Keywords

nonlinearityARCHnonstationarityvolatility persistenceleptokurtosispersistent covariate

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) Economic time series analysis (91B84)

Related Items

Semi-parametric estimation and forecasting for exogenous log-GARCH models, Testing for local covariate trend effects in volatility models, Level changes in volatility models, NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS, Nonparametric testing for long-horizon predictability with persistent covariates, ARCH/GARCH with persistent covariate: asymptotic theory of MLE, Semiparametric inference in a GARCH-in-mean model, NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

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