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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. Lee, O., 2013. "The functional central limit theorem for ARMA–GARCH processes," Economics Letters, Elsevier, vol. 121(3), pages 432-435.
  2. 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.
  3. Wintenberger, Olivier & Cai, Sixiang, 2011. "Parametric inference and forecasting in continuously invertible volatility models," MPRA Paper 31767, University Library of Munich, Germany.
  4. 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.
  5. 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.
  6. Francq, Christian & Zakoian, Jean-Michel, 2010. "Optimal predictions of powers of conditionally heteroskedastic processes," MPRA Paper 22155, University Library of Munich, Germany.
  7. repec:dau:papers:123456789/5529 is not listed on IDEAS
  8. Christian Menn & Svetlozar Rachev, 2009. "Smoothly truncated stable distributions, GARCH-models, and option pricing," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 411-438, July.
  9. 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.
  10. Rasmus Søndergaard Pedersen & Anders Rahbek, 2015. "Nonstationary ARCH and GARCH with t-distributed Innovations," CREATES Research Papers 2015-27, Department of Economics and Business Economics, Aarhus University.
  11. Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO.
  12. Bibi, Abdelouahab & Lescheb, Ines, 2014. "A note on integrated periodic GARCH processes," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 121-124.
  13. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
  14. Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016. "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, vol. 138(C), pages 19-21.
  15. Marc Sáez & Robert M. Kunst, 1995. "ARCH patterns in cointegrated systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra.
  16. Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Innovations and Impulse Response," Working Papers 99-44, Centre de Recherche en Economie et Statistique.
  17. 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.
  18. 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.
  19. 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.
  20. Zhu, Ke & Li, Wai Keung, 2013. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52344, University Library of Munich, Germany.
  21. Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  22. 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 (IfW).
  23. 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.
  24. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  25. 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.
  26. Christodoulakis, George A., 2007. "Common volatility and correlation clustering in asset returns," European Journal of Operational Research, Elsevier, vol. 182(3), pages 1263-1284, November.
  27. repec:dau:papers:123456789/2285 is not listed on IDEAS
  28. 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.
  29. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
  30. 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.
  31. 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.
  32. 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.
  33. Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "Periodic stationarity of random coefficient periodic autoregressions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 990-996, April.
  34. Aue, Alexander & Horvath, Lajos & Pellatt, Daniel, 2015. "Functional generalized autoregressive conditional heteroskedasticity," MPRA Paper 67702, University Library of Munich, Germany.
  35. João 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.
  36. 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.
  37. Moosup Kim & Sangyeol Lee, 2016. "On the tail index inference for heavy-tailed GARCH-type innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(2), pages 237-267, April.
  38. 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.
  39. Christian Francq & Simos G. Meintanis, 2016. "Fourier-type estimation of the power GARCH model with stable-Paretian innovations," Metrika- International Journal for Theoretical and Applied Statistics, Springer, vol. 79(4), pages 389-424, May.
  40. 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.
  41. 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.
  42. Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
  43. 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.
  44. HAFNER, Christian M. & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," CORE Discussion Papers 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. 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).
  50. Starica, Catalin, 1999. "Multivariate extremes for models with constant conditional correlations," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 515-553, December.
  51. 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.
  52. 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.
  53. repec:spr:compst:v:69:y:2009:i:3:p:411-438 is not listed on IDEAS
  54. Meitz, Mika, 2006. "A Necessary And Sufficient Condition For The Strict Stationarity Of A Family Of Garch Processes," Econometric Theory, Cambridge University Press, vol. 22(05), pages 985-988, October.
  55. 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.
  56. Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," SSE/EFI Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007.
  57. 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.
  58. Wintenberger, Olivier, 2013. "Continuous invertibility and stable QML estimation of the EGARCH(1,1) model," MPRA Paper 46027, University Library of Munich, Germany.
  59. 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.
  60. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.
  61. Song, Wenjuan & Sun, Lixin, 2014. "The Measurement of the Long-Term and Short-Term Risks of Chinese Listed Banks," MPRA Paper 70007, University Library of Munich, Germany, revised Jul 2014.
  62. Axel Cron, 1995. "Uniform Consistency of Modified Kernel Estimators in Nonparametric Multivariate VARCH-Models," Discussion Paper Serie B 318, University of Bonn, Germany.
  63. 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.
  64. Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University.
  65. 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.
  66. Chen, Min & Zhu, Ke, 2015. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," Journal of Econometrics, Elsevier, vol. 189(2), pages 313-320.
  67. 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.
  68. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
  69. 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.
  70. repec:use:tkiwps:11 is not listed on IDEAS
  71. Hira Koul & Nao Mimoto, 2012. "A goodness-of-fit test for GARCH innovation density," Metrika- International Journal for Theoretical and Applied Statistics, Springer, vol. 75(1), pages 127-149, January.
  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;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 409-432, June.
  73. Axel Groß-Klußmann & Nikolaus Hautsch, 2011. "Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models," SFB 649 Discussion Papers SFB649DP2011-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  74. 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.
  75. 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.
  76. 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.
  77. Francq, Christian & Thieu, Le Quyen, 2015. "Qml inference for volatility models with covariates," MPRA Paper 63198, University Library of Munich, Germany.
  78. 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.
  79. 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.
  80. Marco Avarucci & Eric Beutner & Paolo Zaffaroni, 2012. "On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models," DSS Empirical Economics and Econometrics Working Papers Series 2012/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  81. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
  82. 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.
  83. Li, Muyi & Li, Wai Keung & Li, Guodong, 2015. "A new hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 189(2), pages 428-436.
  84. 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.
  85. repec:hal:journl:halshs-00270719 is not listed on IDEAS
  86. 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.
  87. 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.
  88. Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.
  89. 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.
  90. 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.
  91. 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.
  92. Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 61-84, January.
  93. 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.
  94. 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).
  95. 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.
  96. Xie, Yingfu, 2007. "Maximum likelihood estimation and forecasting for GARCH, Markov switching, and locally stationary wavelet processes," Department of Forest Economics publications 1594, Swedish University of Agricultural Sciences, Department of forest economics.
  97. Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
  98. Mukherjee, Kanchan, 2007. "Generalized R-estimators under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 141(2), pages 383-415, December.
  99. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
  100. 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.
  101. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
  102. 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.
  103. 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.
  104. repec:hal:journl:peer-00732536 is not listed on IDEAS
  105. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
  106. 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.
  107. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
  108. Li, Dong & Ling, Shiqing & Zhu, Ke, 2016. "ZD-GARCH model: a new way to study heteroscedasticity," MPRA Paper 68621, University Library of Munich, Germany.
  109. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, EconWPA.
  110. 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.
  111. 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.
  112. Saidi, Youssef & Zakoian, Jean-Michel, 2006. "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper 61988, University Library of Munich, Germany, revised 2006.
  113. 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.
  114. 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.
  115. 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.
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