Stationarity of Gtarch Processes

DOI10.1080/02331889708802557zbMath1077.62531OpenAlexW2066278823MaRDI QIDQ4331860

Esmeralda Gonçalves, Nazaré Mendes Lopes

Publication date: 12 February 1997

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889708802557

Mathematics Subject Classification ID

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

Related Items (6)

Local asymptotic normality for multivariate nonlinear AR processes ⋮ On the probabilistic structure of power threshold generalized ARCH stochastic processes ⋮ On the structure of generalized threshold ARCH processes ⋮ Contemporaneous asymmetry in GARCH processes ⋮ A Decision Procedure for Bilinear Time Series Based on the Asymptotic Separation ⋮ Some statistical results on autoregressive conditionally heteroscedastic models

Cites Work

• Bilinear Markovian representation and bilinear models
• Stationarity of GARCH processes and of some nonnegative time series
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Unnamed Item

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