Statistical Properties of the Asymmetric Power ARCH Process
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- Gourieroux, Christian & Josiak, Joann, 1999.
"Nonlinear persistence and copersistence,"
CEPREMAP Working Papers (Couverture Orange)
- Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
- Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 99-63, Center for Research in Economics and Statistics.
- He, Changli & Terasvirta, Timo, 1999.
"Properties of moments of a family of GARCH processes,"
Journal of Econometrics,
Elsevier, vol. 92(1), pages 173-192, September.
- He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," SSE/EFI Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
- Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
More about this item
KeywordsGARCH; heteroskedasticity; financial time series; nonlinearity; S&P 500; volatility; time series;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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