Distributional analysis of empirical volatility in GARCH processes

DOI10.1016/j.jspi.2007.02.014zbMath1158.62055OpenAlexW1978434696MaRDI QIDQ947260

Lajos Horváth, Ričardas Zitikis, Piotr S. Kokoszka

Publication date: 29 September 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2007.02.014

zbMATH Keywords

limiting distributionsGARCH modellimit theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

On the empirical characteristic function process of the residuals in GARCH models and applications

Uses Software

• StFinMetrics

Cites Work

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• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Properties of moments of a family of GARCH processes
• GARCH processes: structure and estimation
• Regular variation of GARCH processes.
• Generalized autoregressive conditional heteroscedasticity
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Strong approximation of the empirical process of GARCH sequences
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
• On weak convergence of random fields

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