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Nonstationary nonlinear heteroskedasticity

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  • Park, Joon Y.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 110 (2002)
Issue (Month): 2 (October)
Pages: 383-415

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Handle: RePEc:eee:econom:v:110:y:2002:i:2:p:383-415

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  3. Peter C.B. Phillips & Joon Y. Park, 1998. "Asymptotics for Nonlinear Transformations of Integrated Time Series," Cowles Foundation Discussion Papers 1182, Cowles Foundation for Research in Economics, Yale University.
  4. Lothian, James R., 1997. "Multi-country evidence on the behavior of purchasing power parity under the current float," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(1), pages 19-35, February.
  5. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 7-38.
  6. He, Changli & Ter svirta, Timo, 1999. "FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS," Econometric Theory, Cambridge University Press, vol. 15(06), pages 824-846, December.
  7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  8. Hansen, Bruce E, 1995. "Regression with Nonstationary Volatility," Econometrica, Econometric Society, Econometric Society, vol. 63(5), pages 1113-32, September.
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Cited by:
  1. Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012. "Non-linearity Induced Weak Instrumentation," University of Cyprus Working Papers in Economics 02-2012, University of Cyprus Department of Economics.
  2. Joon Y. Park & J. Isaac Miller, 2004. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Econometric Society 2004 North American Summer Meetings 597, Econometric Society.
  3. Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, Elsevier, vol. 167(1), pages 95-112.
  4. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a change in persistence in the presence of non-stationary volatility," Discussion Papers 06/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  5. Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings, Econometric Society 508, Econometric Society.
  6. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, Elsevier, vol. 146(2), pages 275-292, October.
  7. Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  8. Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
  9. Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.

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