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Stationary Arch Models: Dependence Structure And Central Limit Theorem

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Cited by:

  1. Naâmane Laïb & Mohamed Lemdani & Elias Ould‐Saïd, 2008. "On residual empirical processes of GARCH‐SM models: application to conditional symmetry tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 762-782, September.
  2. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
  3. Paul Doukhan & Gilles Teyssière & Pablo Winant, 2005. "A Larch Vector Valued Process," Working Papers 2005-49, Center for Research in Economics and Statistics.
  4. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
  5. Fryzlewicz, Piotr & Sapatinas, Theofanis & Subba Rao, Suhasini, 2008. "Normalized least-squares estimation in time-varying ARCH models," LSE Research Online Documents on Economics 25187, London School of Economics and Political Science, LSE Library.
  6. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
  7. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
  8. Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 679-702, September.
  9. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
  10. Dmitri Koulikov, 2002. "Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables," William Davidson Institute Working Papers Series 493, William Davidson Institute at the University of Michigan.
  11. 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.
  12. Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 177-210.
  13. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
  14. Jerôme Dedecker & Paul Doukhan, 2002. "A New Covariance Inequality and Applications," Working Papers 2002-25, Center for Research in Economics and Statistics.
  15. Amano, Tomoyuki & Taniguchi, Masanobu, 2008. "Asymptotic efficiency of conditional least squares estimators for ARCH models," Statistics & Probability Letters, Elsevier, vol. 78(2), pages 179-185, February.
  16. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
  17. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  18. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
  19. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  20. Li, Muyi & Li, Wai Keung & Li, Guodong, 2015. "A new hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 189(2), pages 428-436.
  21. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.),Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  22. Giraitis, Liudas & Robinson, Peter M. & Surgailis, Donatas, 2000. "A model for long memory conditional heteroscedasticity," LSE Research Online Documents on Economics 299, London School of Economics and Political Science, LSE Library.
  23. Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
  24. Christian Francq & Jean-Michel Zakoïan, 2013. "Optimal predictions of powers of conditionally heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 345-367, March.
  25. Chiou, Hai-Tang & Guo, Meihui & Ing, Ching-Kang, 2020. "Variable selection for high-dimensional regression models with time series and heteroscedastic errors," Journal of Econometrics, Elsevier, vol. 216(1), pages 118-136.
  26. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
  27. Schoffer, Olaf, 2003. "HY-A-PARCH: A stationary A-PARCH model with long memory," Technical Reports 2003,40, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  28. John W. Galbraith & Victoria Zinde-Walsh, 2000. "Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations," Econometric Society World Congress 2000 Contributed Papers 1800, Econometric Society.
  29. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  30. Su, Nan & Lund, Robert, 2012. "Multivariate versions of Bartlett’s formula," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 18-31.
  31. Darolles, Serge & Fol, Gaëlle Le & Lu, Yang & Sun, Ran, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 181-203.
  32. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  33. 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.
  34. Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis, 2015. "Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory," Working Papers 766, Queen Mary University of London, School of Economics and Finance.
  35. Robinson, Peter M. & Zafaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH models," LSE Research Online Documents on Economics 4544, London School of Economics and Political Science, LSE Library.
  36. Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B., 2020. "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, Elsevier, vol. 216(1), pages 192-202.
  37. Twm Evans & David McMillan, 2007. "Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1421-1430.
  38. Laïb Naâmane & Lemdani Mohamed & Ould Saïd Elias, 2013. "A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 75-104, March.
  39. Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis, 2015. "Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory," Working Papers 766, Queen Mary University of London, School of Economics and Finance.
  40. 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.
  41. Marc Hallin & Davide La Vecchia, 2014. "Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models," Working Papers ECARES ECARES 2014-45, ULB -- Universite Libre de Bruxelles.
  42. Veiga, Helena & Ruiz, Esther & González-Rivera, Gloria & Gonçalves Mazzeu, Joao Henrique, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de Estadística.
  43. Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 973-1013, December.
  44. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
  45. Robinson, Peter M. & Zaffaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH(∞) models," LSE Research Online Documents on Economics 58182, London School of Economics and Political Science, LSE Library.
  46. Anthony J. Lawrance, 2010. "Volatile ARMA Modelling of GARCH Squares," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 2(3), pages 195-203, June.
  47. repec:wyi:journl:002190 is not listed on IDEAS
  48. Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 835-875, December.
  49. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
  50. Stelios Arvanitis & Tassos Magdalinos, 2018. "Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 892-908, November.
  51. Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series 495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  52. Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
  53. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
  54. Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
  55. Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research and International Relations Area.
  56. Beran, Jan, 2006. "On location estimation for LARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1766-1782, September.
  57. Kwan, Wilson & Li, Wai Keung & Li, Guodong, 2012. "On the estimation and diagnostic checking of the ARFIMA–HYGARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3632-3644.
  58. Dedecker, Jérôme & Merlevède, Florence, 2011. "Rates of convergence in the central limit theorem for linear statistics of martingale differences," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1013-1043, May.
  59. Jean-Yves Pitarakis, 2017. "A Simple Approach for Diagnosing Instabilities in Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(5), pages 851-874, October.
  60. John A. D. Appleby & John A. Daniels & Katja Krol, 2012. "A Black--Scholes Model with Long Memory," Papers 1202.5574, arXiv.org.
  61. Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series 416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  62. Wolfgang Härdle & Julius Mungo, 2008. "Value-at-Risk and Expected Shortfall when there is long range dependence," SFB 649 Discussion Papers SFB649DP2008-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  63. Zaffaroni, Paolo & d'Italia, Banca, 2003. "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, vol. 115(2), pages 199-258, August.
  64. Mukherjee, Kanchan, 2007. "Generalized R-estimators under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 141(2), pages 383-415, December.
  65. Lee, Oesook, 2018. "Stationarity and functional central limit theorem for ARCH(∞) models," Economics Letters, Elsevier, vol. 162(C), pages 107-111.
  66. Muyi Li & Wai Keung Li & Guodong Li, 2013. "On Mixture Memory Garch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 606-624, November.
  67. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  68. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  69. 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.
  70. Maheu John, 2005. "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-43, December.
  71. Sabzikar, Farzad & Surgailis, Donatas, 2018. "Invariance principles for tempered fractionally integrated processes," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3419-3438.
  72. Kokoszka, Piotr S. & Politis, D N, 2008. "The Variance of Sample Autocorrelations: Does Barlett's Formula Work With ARCH Data?," University of California at San Diego, Economics Working Paper Series qt68c247dp, Department of Economics, UC San Diego.
  73. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
  74. Hideaki Nagahata & Masanobu Taniguchi, 2018. "Analysis of variance for high-dimensional time series," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 455-468, July.
  75. KIlIç, Rehim, 2011. "Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 368-378, March.
  76. Francq, Christian & ZakoI¨an, Jean-Michel, 2005. "The L2-structures of standard and switching-regime GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1557-1582, September.
  77. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  78. Yuichi Goto & Masanobu Taniguchi, 2020. "Discriminant analysis based on binary time series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(5), pages 569-595, July.
  79. Jean-Yves Pitarakis, 2020. "A Novel Approach to Predictive Accuracy Testing in Nested Environments," Papers 2008.08387, arXiv.org.
  80. 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.
  81. Lee, O., 2013. "The functional central limit theorem for ARMA–GARCH processes," Economics Letters, Elsevier, vol. 121(3), pages 432-435.
  82. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
  83. Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series 460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  84. Farzad Sabzikar & Qiying Wang & Peter C.B. Phillips, 2018. "Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process," Cowles Foundation Discussion Papers 2131, Cowles Foundation for Research in Economics, Yale University.
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