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The second moment and the autocovariance function of the squared errors of the GARCH model

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  • Karanasos, Menelaos

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  • Karanasos, Menelaos, 1999. "The second moment and the autocovariance function of the squared errors of the GARCH model," Journal of Econometrics, Elsevier, vol. 90(1), pages 63-76, May.
  • Handle: RePEc:eee:econom:v:90:y:1999:i:1:p:63-76
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    References listed on IDEAS

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    1. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    Cited by:

    1. Hafner, Christian M., 2000. "Fourth moments of multivariate GARCH processes," SFB 373 Discussion Papers 2000,80, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, "undated". "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York.
    3. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    4. Menelaos Karanasos, "undated". "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York.
    5. 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.
    6. 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.
    7. Menelaos Karanasos, "undated". "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/10, Department of Economics, University of York.
    8. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.
    9. Conrad, Christian & Karanasos, Menelaos, 2010. "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, vol. 26(03), pages 838-862, June.
    10. M. Karanasos & J. Kim, 2003. "Moments of the ARMA--EGARCH model," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 146-166, June.
    11. Delaigle, Aurore & Meister, Alexander & Rombouts, Jeroen, 2016. "Root-T consistent density estimation in GARCH models," Journal of Econometrics, Elsevier, vol. 192(1), pages 55-63.
    12. Ruiz Esther & PĂ©rez Ana, 2012. "Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-33, September.
    13. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    14. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, "undated". "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Discussion Papers 00/24, Department of Economics, University of York.
    15. Carol Alexander & Emese Lazar & Silvia Stanescu, 2010. "Analytic Moments for GARCH Processes," ICMA Centre Discussion Papers in Finance icma-dp2011-07, Henley Business School, Reading University, revised Apr 2011.
    16. Conrad, Christian & Kleen, Onno, 2016. "On the statistical properties of multiplicative GARCH models," Working Papers 0613, University of Heidelberg, Department of Economics.
    17. 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.
    18. Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude, 2004. "Stability of random coefficient ARCH models and aggregation schemes," Journal of Econometrics, Elsevier, vol. 120(1), pages 139-158, May.
    19. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
    20. 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.
    21. Carol Alexander & Emese Lazar & Silvia Stanescu, 2018. "Analytic Moments for GARCH Processes," Papers 1808.09666, arXiv.org, revised Sep 2018.
    22. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 31-37, January.
    23. Menelaos Karanasos & J. Kim, "undated". "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York.

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