A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity

DOI10.1007/S00362-006-0035-2zbMath1148.62078OpenAlexW2012295161MaRDI QIDQ946272

Antonio Rubia, Paulo M. M. Rodrigues

Publication date: 22 September 2008

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-006-0035-2

zbMATH Keywords

maximum likelihood estimationinterest ratesnonstationarityvolatilityexperimental design

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)

Cites Work

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• A Theory of the Term Structure of Interest Rates
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Estimation and Testing Stationarity for Double-Autoregressive Models
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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