On the structure of generalized threshold ARCH processes

DOI10.1016/J.SPL.2009.12.012zbMath1185.62155OpenAlexW2066083515MaRDI QIDQ962013

Esmeralda Gonçalves, Nazaré Mendes Lopes

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.012

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (2)

On the probabilistic structure of power threshold generalized ARCH stochastic processes ⋮ Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes

Uses Software

• itsmr

Cites Work

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• A mathematical approach to detect the Taylor property in TARCH processes
• Stationarity of GARCH processes and of some nonnegative time series
• Properties of moments of a family of GARCH processes
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Convergence in distribution of products of random matrices
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stationarity of Gtarch Processes
• Introduction to Time Series and Forecasting
• Recurrence properties of Processes with stationary independent increments
• Threshold heteroskedastic models

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