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Citations for "Stationarity of Garch processes and of some nonnegative time series"

by Bougerol, Philippe & Picard, Nico

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  1. Francq, Christian & Zakoïan, Jean-Michel, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Journal of Econometrics, Elsevier, vol. 159(1), pages 151-165, November.
  2. Axel Groß‐KlußMann & Nikolaus Hautsch, 2013. "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 724-742, December.
  3. repec:hal:journl:halshs-00270719 is not listed on IDEAS
  4. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
  5. Zakoïan, Jean-Michel & Regnard, Nazim, 2008. "GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation," Economics Papers from University Paris Dauphine 123456789/2285, Paris Dauphine University.
  6. Francq, Christian & Zakoian, Jean-Michel, 2010. "Optimal predictions of powers of conditionally heteroskedastic processes," MPRA Paper 22155, University Library of Munich, Germany.
  7. Zakoïan, Jean-Michel & Wintenberger, Olivier & Francq, Christian, 2013. "GARCH models without positivity constraints: Exponential or Log GARCH?," Economics Papers from University Paris Dauphine 123456789/10571, Paris Dauphine University.
  8. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
  9. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
  10. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
  11. Lee, O., 2013. "The functional central limit theorem for ARMA–GARCH processes," Economics Letters, Elsevier, vol. 121(3), pages 432-435.
  12. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Working Papers in Economics 10/55, University of Canterbury, Department of Economics and Finance.
  13. Hafner, Christian M. & Preminger, Arie, 2009. "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, vol. 25(02), pages 336-363, April.
  14. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002. "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 97-107, January.
  15. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
  16. Christian Francq & Jean-Michel Zakoïan, 2008. "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers 2008-04, Centre de Recherche en Economie et Statistique.
  17. Hira Koul & Nao Mimoto, 2012. "A goodness-of-fit test for GARCH innovation density," Metrika, Springer, vol. 75(1), pages 127-149, January.
  18. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  19. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 594-616.
  20. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  21. Gonçalves, E. & Leite, J. & Mendes-Lopes, N., 2012. "On the probabilistic structure of power threshold generalized arch stochastic processes," Statistics & Probability Letters, Elsevier, vol. 82(8), pages 1597-1609.
  22. Meitz, Mika, 2005. "A necessary and sufficient condition for the strict stationarity of a family of GARCH processes," Working Paper Series in Economics and Finance 601, Stockholm School of Economics.
  23. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June.
  24. Gürtler, Marc & Rauh, Ronald, 2012. "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers IF41V1, Technische Universität Braunschweig, Institute of Finance.
  25. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
  26. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
  27. Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Innovations and Impulse Response," Working Papers 99-44, Centre de Recherche en Economie et Statistique.
  28. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  29. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
  30. Ip, W.C. & Wong, Heung & Pan, J.Z. & Li, D.F., 2006. "The asymptotic convexity of the negative likelihood function of GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 311-331, January.
  31. Felix Chan & Michael McAleer, 2001. "Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers," ISER Discussion Paper 0539, Institute of Social and Economic Research, Osaka University.
  32. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
  33. Dufresne, Daniel & Vázquez-Abad, Felisa, 2012. "Cobweb theorems with production lags and price forecasting," Economics Discussion Papers 2012-17, Kiel Institute for the World Economy.
  34. PREMINGER, Arie & STORTI, Giuseppe, 2006. "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," CORE Discussion Papers 2006068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  35. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
  36. Zhu, Ke & Li, Wai Keung, 2014. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52732, University Library of Munich, Germany.
  37. Mikosch, Thomas & Straumann, Daniel, 0. "Whittle estimation in a heavy-tailed GARCH(1,1) model," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 187-222, July.
  38. Mika Meitz & Pentti Saikkonen, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
  39. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
  40. Zakoïan, Jean-Michel, 2010. "A class of DCC asymmetric GARCH models driven by exogenous variables," Economics Papers from University Paris Dauphine 123456789/5529, Paris Dauphine University.
  41. Marc Sáez & Robert M. Kunst, 1995. "ARCH patterns in cointegrated systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra.
  42. Wintenberger, Olivier & Cai, Sixiang, 2011. "Parametric inference and forecasting in continuously invertible volatility models," MPRA Paper 31767, University Library of Munich, Germany.
  43. Starica, Catalin, 1999. "Multivariate extremes for models with constant conditional correlations," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 515-553, December.
  44. Avarucci, Marco & Beutner, Eric & Zaffaroni, Paolo, 2013. "On Moment Conditions For Quasi-Maximum Likelihood Estimation Of Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 29(03), pages 545-566, June.
  45. Biao Wu, Wei & Min, Wanli, 2005. "On linear processes with dependent innovations," Stochastic Processes and their Applications, Elsevier, vol. 115(6), pages 939-958, June.
  46. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, School of Economics and Management, University of Aarhus.
  47. Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, vol. 22(02), pages 206-234, April.
  48. Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
  49. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
  50. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
  51. Christian Menn & Svetlozar Rachev, 2009. "Smoothly truncated stable distributions, GARCH-models, and option pricing," Computational Statistics, Springer, vol. 69(3), pages 411-438, July.
  52. Francq, Christian & Zakoian, Jean-Michel, 2007. "Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1265-1284, September.
  53. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
  54. Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "Periodic stationarity of random coefficient periodic autoregressions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 990-996, April.
  55. Berkes, István & Horváth, Lajos, 2003. "The rate of consistency of the quasi-maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 133-143, January.
  56. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, EconWPA.
  57. Boussama, Farid & Fuchs, Florian & Stelzer, Robert, 2011. "Stationarity and geometric ergodicity of BEKK multivariate GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2331-2360, October.
  58. Lahiani, Amine & Yousfi, Ouidad, 2007. "Modèls Garch à la mémoire longue: application aux taux de change tunisiens
    [GARCH models : evidence from Tunisian Exchange market]
    ," MPRA Paper 28702, University Library of Munich, Germany, revised 2008.
  59. Jo�o Nicolau, 0. "A discrete and a continuous-time model based on a technical trading rule," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(2), pages 266-284.
  60. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
  61. Wang, Gaowen, 2006. "A note on unit root tests with heavy-tailed GARCH errors," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1075-1079, May.
  62. Axel Cron, 1995. "Uniform Consistency of Modified Kernel Estimators in Parametric ARCH- Models," Discussion Paper Serie B 303, Discussion Paper B-3, University of Bonn, Germany.
  63. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
  64. Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 61-84, January.
  65. Francq, Christian & Zakoian, Jean-Michel, 2009. "Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models," MPRA Paper 15147, University Library of Munich, Germany.
  66. Gonçalves, E. & Mendes-Lopes, N., 2010. "On the structure of generalized threshold arch processes," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 573-580, April.
  67. Francq, Christian & Meintanis, Simos, 2012. "Fourier--type estimation of the power garch model with stable--paretian innovations," MPRA Paper 41667, University Library of Munich, Germany.
  68. Mimoto, Nao, 2008. "Convergence in distribution for the sup-norm of a kernel density estimator for GARCH innovations," Statistics & Probability Letters, Elsevier, vol. 78(7), pages 915-923, May.
  69. Deo, Rohit S. & Chen, Willa W., 2003. "The Variance Ratio Statistic at Large Horizons," Papers 2004,04, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  70. Liu, Ji-Chun, 2006. "On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1323-1330, July.
  71. Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle, 2012. "Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series," SFB 649 Discussion Papers SFB649DP2012-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  72. M. Jiménez Gamero, 2014. "On the empirical characteristic function process of the residuals in GARCH models and applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 409-432, June.
  73. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  74. Giraitis, Liudas & Surgailis, Donatas, 0. "ARCH-type bilinear models with double long memory," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 275-300, July.
  75. Bibi, Abdelouahab & Lescheb, Ines, 2014. "A note on integrated periodic GARCH processes," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 121-124.
  76. Hwang, S. Y. & Basawa, I. V., 2004. "Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 209-220, July.
  77. Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
  78. Dietmar Bauer, 2004. "Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations," Cowles Foundation Discussion Papers 1452, Cowles Foundation for Research in Economics, Yale University.
  79. Wintenberger, Olivier, 2013. "Continuous invertibility and stable QML estimation of the EGARCH(1,1) model," MPRA Paper 46027, University Library of Munich, Germany.
  80. Cline, Daren B.H., 2007. "Regular variation of order 1 nonlinear AR-ARCH models," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 840-861, July.
  81. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  82. Mukherjee, Kanchan, 2007. "Generalized R-estimators under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 141(2), pages 383-415, December.
  83. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org.
  84. Chen, Min & Zhu, Ke, 2013. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," MPRA Paper 50487, University Library of Munich, Germany.
  85. Peter A. Zadrozny, 2005. "Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process," CESifo Working Paper Series 1505, CESifo Group Munich.
  86. Klar, B. & Lindner, F. & Meintanis, S.G., 2012. "Specification tests for the error distribution in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3587-3598.
  87. repec:hal:wpaper:hal-00583372 is not listed on IDEAS
  88. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
  89. Gürtler, Marc & Rauh, Ronald, 2013. "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers IF43V1, Technische Universität Braunschweig, Institute of Finance.
  90. Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
  91. Berkes, István & Horváth, Lajos, 2003. "Limit results for the empirical process of squared residuals in GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 105(2), pages 271-298, June.
  92. Iqbal Owadally, 2014. "Tail risk in pension funds: an analysis using ARCH models and bilinear processes," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 301-331, August.
  93. Axel Cron, 1995. "Uniform Consistency of Modified Kernel Estimators in Nonparametric Multivariate VARCH-Models," Discussion Paper Serie B 318, University of Bonn, Germany.
  94. Abdelhakim Aknouche, 2012. "Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases," Statistical Inference for Stochastic Processes, Springer, vol. 15(3), pages 241-256, October.
  95. Berkes, István & Hörmann, Siegfried & Schauer, Johannes, 2009. "Asymptotic results for the empirical process of stationary sequences," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1298-1324, April.