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Asymptotic Inference For Nonstationary Garch

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Cited by:

  1. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
  2. Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
  3. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
  4. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, January.
  5. Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017. "Volatility Modeling with a Generalized t Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
  6. F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers 1610.02863, arXiv.org.
  7. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
  8. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
  9. Pedersen, Rasmus Søndergaard, 2016. "Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments," Econometric Theory, Cambridge University Press, vol. 32(2), pages 498-531, April.
  10. Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
  11. Wang, Guochang & Zhu, Ke & Li, Guodong & Li, Wai Keung, 2022. "Hybrid quantile estimation for asymmetric power GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 264-284.
  12. Thomas B. Fomby & Jeffery W. Gunther & Jian Hu, 2012. "Return Dependence and the Limits of Product Diversification in Financial Firms," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1151-1183, September.
  13. Li, Dong & Tao, Yuxin & Yang, Yaxing & Zhang, Rongmao, 2023. "Maximum likelihood estimation for α-stable double autoregressive models," Journal of Econometrics, Elsevier, vol. 236(1).
  14. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
  15. Asai Manabu & So Mike K. P., 2023. "Realized BEKK-CAW Models," Journal of Time Series Econometrics, De Gruyter, vol. 15(1), pages 49-77, January.
  16. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  17. 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(3), pages 545-566, June.
  18. Fokianos, Konstantinos & Tjøstheim, Dag, 2011. "Log-linear Poisson autoregression," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 563-578, March.
  19. Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
  20. Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
  21. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
  22. Guochang Wang & Ke Zhu & Guodong Li & Wai Keung Li, 2019. "Hybrid quantile estimation for asymmetric power GARCH models," Papers 1911.09343, arXiv.org.
  23. Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel, 2012. "Structural breaks and GARCH models of stock return volatility: The case of South Africa," Economic Modelling, Elsevier, vol. 29(6), pages 2435-2443.
  24. Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, Department of Economics and Business Economics, Aarhus University.
  25. István Berkes & Lajos Horváth & Shiqing Ling, 2009. "Estimation in nonstationary random coefficient autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 395-416, July.
  26. Iglesias, Emma M., 2015. "Value at Risk of the main stock market indexes in the European Union (2000–2012)," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 1-13.
  27. Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
  28. Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2023. "Asymptotics for the Generalized Autoregressive Conditional Duration Model," Papers 2307.01779, arXiv.org.
  29. Aknouche, Abdelhakim & Al-Eid, Eid M. & Hmeid, Aboubakry M., 2011. "Offline and online weighted least squares estimation of nonstationary power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1535-1540, October.
  30. Li, Dong & Ling, Shiqing & Zhu, Ke, 2016. "ZD-GARCH model: a new way to study heteroscedasticity," MPRA Paper 68621, University Library of Munich, Germany.
  31. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo.
  32. Guo, Shaojun & Li, Dong & Li, Muyi, 2019. "Strict stationarity testing and GLAD estimation of double autoregressive models," Journal of Econometrics, Elsevier, vol. 211(2), pages 319-337.
  33. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
  34. Caiya Zhang & Kaihong Xu & Lianfen Qian, 2020. "Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors," Statistical Papers, Springer, vol. 61(6), pages 2313-2330, December.
  35. Arvanitis, Stelios, 2019. "Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 166-172.
  36. Abadir, Karim M. & Luati, Alessandra & Paruolo, Paolo, 2023. "GARCH density and functional forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 470-483.
  37. Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
  38. Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
  39. Pedersen, Rasmus Søndergaard, 2017. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Journal of Econometrics, Elsevier, vol. 196(1), pages 23-36.
  40. Thor Pajhede, 2015. "Backtesting Value-at-Risk: A Generalized Markov Framework," Discussion Papers 15-18, University of Copenhagen. Department of Economics.
  41. Schwaab, Bernd & Zhang, Xin & Lucas, André & D’Innocenzo, Enzo, 2020. "Modeling extreme events:time-varying extreme tail shape," Working Paper Series 399, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2023.
  42. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
  43. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
  44. Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
  45. Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  46. Tao, Yubo, 2019. "Limit theory for moderate deviation from Integrated GARCH processes," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 126-136.
  47. Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021. "Specification tests for GARCH processes," Discussion Papers 21-06, University of Copenhagen. Department of Economics.
  48. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
  49. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
  50. Olivier Wintenberger, 2013. "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 846-867, December.
  51. Han, Heejoon & Park, Joon Y., 2014. "GARCH with omitted persistent covariate," Economics Letters, Elsevier, vol. 124(2), pages 248-254.
  52. 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.
  53. Huaping Chen & Qi Li & Fukang Zhu, 2022. "A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(2), pages 243-270, June.
  54. Harvey, Andrew & Sucarrat, Genaro, 2014. "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
  55. Abdelhakim Aknouche & Abdelouahab Bibi, 2009. "Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 19-46, January.
  56. Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de Economía.
  57. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
  58. Ha, Jeongcheol & Lee, Taewook, 2011. "NM-QELE for ARMA-GARCH models with non-Gaussian innovations," Statistics & Probability Letters, Elsevier, vol. 81(6), pages 694-703, June.
  59. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  60. F Blasques & P Gorgi & S J Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models ," Working Papers hal-01377971, HAL.
  61. Wang, Hui & Pan, Jiazhu, 2014. "Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 117-123.
  62. Andrew Harvey & Alessandra Luati, 2014. "Filtering With Heavy Tails," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1112-1122, September.
  63. Anders Tolver Jensen & Theis Lange, 2009. "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers 2009-06, Department of Economics and Business Economics, Aarhus University.
  64. Arvanitis, Stelios & Louka, Alexandros, 2017. "Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model," Economics Letters, Elsevier, vol. 161(C), pages 135-137.
  65. Taewook Lee & Sangyeol Lee, 2009. "Normal Mixture Quasi‐maximum Likelihood Estimator for GARCH Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 157-170, March.
  66. Astrid Ayala & Szabolcs Blazsek, 2018. "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, vol. 50(37), pages 4005-4023, August.
  67. Li, Dong & Zhang, Xingfa & Zhu, Ke & Ling, Shiqing, 2018. "The ZD-GARCH model: A new way to study heteroscedasticity," Journal of Econometrics, Elsevier, vol. 202(1), pages 1-17.
  68. Dag Tjøstheim, 2012. "Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 413-438, September.
  69. Aknouche Abdelhakim, 2013. "Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 25-46, January.
  70. Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
  71. Jensen Anders Tolver & Lange Theis, 2010. "On Convergence of the QMLE for Misspecified GARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-31, June.
  72. Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing, 2022. "A score statistic for testing the presence of a stochastic trend in conditional variances," Economics Letters, Elsevier, vol. 213(C).
  73. Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
  74. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
  75. Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, "undated". "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers 2010-13, Department of Economics and Business Economics, Aarhus University.
  76. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
  77. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
  78. Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
  79. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Stats, MDPI, vol. 6(4), pages 1-32, December.
  80. Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
  81. Bibi, Abdelouahab & Ghezal, Ahmed, 2017. "Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models," MPRA Paper 81126, University Library of Munich, Germany.
  82. Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016. "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, vol. 138(C), pages 19-21.
  83. Yan Cui & Fukang Zhu, 2018. "A new bivariate integer-valued GARCH model allowing for negative cross-correlation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(2), pages 428-452, June.
  84. Harvey, A. & Hurn, S. & Thiele, S., 2019. "Modeling directional (circular) time series," Cambridge Working Papers in Economics 1971, Faculty of Economics, University of Cambridge.
  85. Hu Liang & Shin Yongcheol, 2008. "Optimal Test for Markov Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-27, September.
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