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Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes · Study

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ChapterStationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

Alexander Lindner2009

Chapter2009

Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

Alexander Lindner

92 citations·0/0 files stored·Springer eBooks

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1986Modelling the persistence of conditional variances 1990Stationarity and Persistence in the GARCH(1,1) Model 1992Inequality Constraints in the Univariate GARCH Model 1992Stationarity of Garch processes and of some nonnegative time series 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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2011Stationarity and geometric ergodicity of BEKK multivariate GARCH models 2014ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS 2009Extreme Value Theory for GARCH Processes 2012Towards estimating extremal serial dependence via the bootstrapped extremogram 2011Mixing properties of ARCH and time-varying ARCH processes 2009

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2009ARCH(∞) Models and Long Memory Propertieschapter · 13 shared references 2006Recent Advances in ARCH Modellingchapter · 12 shared references 2011Financial Economics, Fat-Tailed Distributionsother · 11 shared references 2009Extreme Value Theory for GARCH Processeschapter · 10 shared references 2004STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELSarticle · 10 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 10 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations92

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-540-71297-8_2

openalex_workW105317347

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Probabilistic Properties of Stochastic Volatility Models

2013Testing for Common Conditionally Heteroskedastic Factors

2020Changepoint in dependent and non-stationary panels