GARCH with omitted persistent covariate

DOI10.1016/j.econlet.2014.05.016zbMath1303.62049OpenAlexW2056577254MaRDI QIDQ485597

Joon Y. Park, Heejoon Han

Publication date: 12 January 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.05.016

zbMATH Keywords

fractionally integrated processGARCH-XIGARCHnonlinear nonstationary time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Neglecting parameter changes in GARCH models
• Level changes in volatility models
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Autoregressive conditional heteroskedasticity and changes in regime
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model
• Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
• Modelling the persistence of conditional variances
• Nonlinear Regressions with Integrated Time Series
• On Convergence of the QMLE for Misspecified GARCH Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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