A generalized nonlinear model for long memory conditional heteroscedasticity

DOI10.1080/02331888.2016.1259813zbMath1372.62038arXiv1509.01708OpenAlexW2963503055MaRDI QIDQ5276173

Ieva Grublytė, Andrius Škarnulis

Publication date: 14 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.01708

zbMATH Keywords

nonlinear modelheteroscedasticitylong memoryleverageLARCH modelasymmetric ARCH modelRosenthal constant

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items

QMLE for Quadratic ARCH Model with Long Memory

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$

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