ON STATIONARITY IN THE ARCH(∞) MODEL

DOI10.1017/S0266466602181011zbMath1181.62134MaRDI QIDQ4807279

Remigijus Leipus, Vytautas Kazakevičius

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Related Items (12)

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero ⋮ STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE ⋮ Semi- and nonparametric ARCH processes ⋮ Conditional asymmetry in power ARCH\((\infty)\) models ⋮ Stability of random coefficient ARCH models and aggregation schemes ⋮ Testing for bubbles and change-points ⋮ Weak dependence for infinite ARCH-type bilinear models ⋮ Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach ⋮ Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models ⋮ Generalised long-memory GARCH models for intra-daily volatility ⋮ Covariance stationary GARCH-family models with long memory property ⋮ Limit results for the empirical process of squared residuals in GARCH models.

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