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Bartlett's formula for a general class of non linear processes

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  • Francq, Christian
  • Zakoian, Jean-Michel

Abstract

A Bartlett-type formula is proposed for the asymptotic distribution of the sample autocorrelations of nonlinear processes. The asymptotic covariances between sample autocorrelations are expressed as the sum of two terms. The first term corresponds to the standard Bartlett's formula for linear processes, involving only the autocorrelation function of the observed process. The second term, which is specific to nonlinear processes, involves the autocorrelation function of the observed process, the kurtosis of the linear innovation process and the autocorrelation function of its square. This formula is obtained under a symmetry assumption on the linear innovation process. An application to GARCH models is proposed.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13224.

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Date of creation: 05 Feb 2009
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Handle: RePEc:pra:mprapa:13224

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Keywords: Bartlett's formula; nonlinear time series model; sample autocorrelation; GARCH model; weak white noise;

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  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  2. Christian Francq & Jean-Michel Zakoïan, 2008. "Barlett’s Formula for Non Linear Processes," Working Papers 2008-05, Centre de Recherche en Economie et Statistique.
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Cited by:
  1. Boubacar Mainassara, Yacouba & Carbon, Michel & Francq, Christian, 2010. "Computing and estimating information matrices of weak arma models," MPRA Paper 27685, University Library of Munich, Germany.
  2. Zakoïan, Jean-Michel & Regnard, Nazim, 2011. "A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices," Economics Papers from University Paris Dauphine 123456789/2603, Paris Dauphine University.
  3. Francq, Christian & Roy, Roch & Saidi, Abdessamad, 2011. "Asymptotic properties of weighted least squares estimation in weak parma models," MPRA Paper 28721, University Library of Munich, Germany.
  4. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
  5. Su, Nan & Lund, Robert, 2012. "Multivariate versions of Bartlett’s formula," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 18-31.
  6. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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