SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
16 references·11 citing·31 second hop
Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (2009)Stationarity, Mixing, Distributional Prop…Handbook of Financial Time Series (2009)Handbook of Financial Time Se…Handbook of Financial Time Series (2009)Handbook of Financial Time Se…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (2002)NECESSARY AND SUFFICIENT MOME…STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM (2000)STATIONARY ARCH MODELS: DEPEN…Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Limit theory for the sample a…Properties of moments of a family of GARCH processes (1999)Properties of moments of a fa…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression (1991)Testing for strong serial cor…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes (1989)Extremal behaviour of solutio…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Identifying Shocks via Time-Varying Volatility (2021)Identifying Shocks via Time-V…Changepoint in dependent and non-stationary panels (2020)Changepoint in dependent and …Testing the constancy of Spearman’s rho in multivariate time series (2015)Testing the constancy of Spea…ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (2014)ECONOMETRIC ANALYSIS OF VOLAT…Testing for Common Conditionally Heteroskedastic Factors (2013)Testing for Common Conditiona…Towards estimating extremal serial dependence via the bootstrapped extremogram (2012)Towards estimating extremal s…Stationarity and geometric ergodicity of BEKK multivariate GARCH models (2011)Stationarity and geometric er…Mixing properties of ARCH and time-varying ARCH processes (2011)Mixing properties of ARCH and…Probabilistic Properties of Stochastic Volatility Models (2009)Probabilistic Properties of S…Extreme Value Theory for GARCH Processes (2009)Extreme Value Theory for GARC…ARCH(∞) Models and Long Memory Properties (2009)ARCH(∞) Models and Long Memor…ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Modelling Nonlinear Economic Time Series (2010)Asymptotic Theory for ARCH Models: Estimation and Testing (1986)Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon (1999)Alternative Variance-Ratio Tests Using Ranks and Signs (2000)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Cross Section and Panel Data (2001)Quadratic ARCH Models (1995)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)Copula–Based Models for Financial Time Series (2009)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Conditional Tail-Risk in Cryptocurrency Markets (2018)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression440 cited
  • 2000Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process414 cited
  • 2009Handbook of Financial Time Series406 cited
  • 2009Handbook of Financial Time Series383 cited
  • 2002Regular variation of GARCH processes359 cited
  • 2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS288 cited
  • 1999Properties of moments of a family of GARCH processes278 cited
  • 2000STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

253 cited
  • 1989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes250 cited
  • Cited by

    • 2011Stationarity and geometric ergodicity of BEKK multivariate GARCH models92 cited
    • 2014ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS65 cited
    • 2012Towards estimating extremal serial dependence via the bootstrapped extremogram64 cited
    • 2009Extreme Value Theory for GARCH Processes64 cited
    • 2011Mixing properties of ARCH and time-varying ARCH processes48 cited
    • 2009Probabilistic Properties of Stochastic Volatility Models46 cited
    • 2013Testing for Common Conditionally Heteroskedastic Factors43 cited
    • 2020Changepoint in dependent and non-stationary panels27 cited
    • 2009ARCH(∞) Models and Long Memory Properties27 cited
    • 2021Identifying Shocks via Time-Varying Volatility14 cited
    • 2015Testing the constancy of Spearman’s rho in multivariate time series13 cited