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The moment structure of ARCH processes
4 references·16 citing·37 second hop
The moment structure of ARCH processes (1985)The moment structure of ARCH processesTime Series Analysis, Forecasting, and Control (1995)Time Series Analysis, Forecas…ARMA MODELS WITH ARCH ERRORS (1984)ARMA MODELS WITH ARCH ERRORSEstimates of the Variance of U. S. Inflation Based upon the ARCH Model (1983)Estimates of the Variance of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (2009)Stationarity, Mixing, Distrib…LONG MEMORY TESTING IN THE TIME DOMAIN (2007)LONG MEMORY TESTING IN THE TI…The L2 -structures of standard and switching-regime GARCH models (2005)The L2 -structures of standar…Time Varying Risks Among Segments of the Tanker Freight Markets (2003)Time Varying Risks Among Segm…Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form (2003)Bootstrapping Autoregressions…Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence (2002)Maximum likelihood estimation…On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model (1999)On the probabilistic properti…FOURTH MOMENT STRUCTURE OF THE GARCH( p , q ) PROCESS (1999)FOURTH MOMENT STRUCTURE OF TH…Confidence intervals for impulse responses under departures from normality (1998)Confidence intervals for impu…Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates (1997)Joint Variance-Ratio Tests of…A new non-linear GARCH model (1997)A new non-linear GARCH modelThe relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data (1995)The relationship between GARC…Adaptive Estimation in ARCH Models (1993)Adaptive Estimation in ARCH M…Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach (1992)Interaction Between Autocorre…The autocorrelation structure for the GARCH-M process (1991)The autocorrelation structure…A Conditional Variance Model for Daily Deviations of an Exchange Rate (1987)A Conditional Variance Model …Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Stationarity and geometric ergodicity of BEKK multivariate GARCH models (2011)Towards estimating extremal serial dependence via the bootstrapped extremogram (2012)ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (2014)ARCH modeling in finance (1992)Stability of nonlinear AR‐GARCH models (2008)Inequality Constraints in the Univariate GARCH Model (1992)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Statistical aspects of ARCH and stochastic volatility (1996)MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS (2002)AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE (2004)On linear processes with dependent innovations (2005)Time Series Analysis: Forecasting and Control (1977)Specification Tests in Econometrics (1978)Conditional Heteroscedastic Time Series Models (1987)ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS (1988)On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity (1997)Some International Evidence on Output-Inflation Tradeoffs. (1973)Nobel Lecture: Inflation and Unemployment (1977)Modelling the persistence of conditional variances (1986)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)Empirical exchange rate models of the seventies (1983)The role of futures trading activity in exchange rate volatility (1996)A comparison of the accuracy of short term foreign exchange forecasting methods (2002)Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries (2012)The Pricing of Options and Corporate Liabilities (1973)Non‐linear GARCH models for highly persistent volatility (2005)Modelling changes in the unconditional variance of long stock return series (2013)What causes price volatility and regime shifts in the natural gas market (2013)Efficient estimation in semiparametric GARCH models (1997)Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods (2013)Econometric Analysis of Cross Section and Panel Data (2001)Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (1978)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Principles of forecasting : a handbook for researchers and practitioners (2001)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Time Series Analysis, Forecasting, and Control3,494 cited
  • 1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model462 cited
  • 1984ARMA MODELS WITH ARCH ERRORS282 cited

Cited by

  • 1993Adaptive Estimation in ARCH Models141 cited
  • 1999FOURTH MOMENT STRUCTURE OF THE GARCH( p , q ) PROCESS133 cited
  • 1987A Conditional Variance Model for Daily Deviations of an Exchange Rate108 cited
  • 1997A new non-linear GARCH model104 cited
  • 1999On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model98 cited
  • 2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes92 cited
  • 1995The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data87 cited
  • 2007LONG MEMORY TESTING IN THE TIME DOMAIN80 cited
  • 2005The L2 -structures of standard and switching-regime GARCH models75 cited
  • 1992Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach74 cited
  • 1998

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Confidence intervals for impulse responses under departures from normality
73 cited
  • 2003Time Varying Risks Among Segments of the Tanker Freight Markets73 cited
  • 2002Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence71 cited
  • 2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form69 cited
  • 1997Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates65 cited
  • 1991The autocorrelation structure for the GARCH-M process59 cited