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MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
14 references·16 citing·34 second hopsampled
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 19965 Stochastic volatility1,189 cited
  • 1995All in the family Nesting symmetric and asymmetric GARCH models723 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 1999Properties of moments of a family of GARCH processes278 cited
  • 2000STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM253 cited
  • 1997On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity243 cited
  • 1988ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS223 cited
  • 2004A family of autoregressive conditional duration models188 cited
  • 1999FOURTH MOMENT STRUCTURE OF THE GARCH( p , q ) PROCESS133 cited

Cited by

  • 2006

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Accurate value-at-risk forecasting based on the normal-GARCH model
86 cited
  • 2017Forecasting crude-oil market volatility: Further evidence with jumps85 cited
  • 2004LARCH, Leverage, and Long Memory76 cited
  • 2013Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model75 cited
  • 2005A re-examination of the asymmetric power ARCH model72 cited
  • 2008Augmented GARCH sequences: Dependence structure and asymptotics70 cited
  • 2013GARCH models without positivity constraints: Exponential or log GARCH?68 cited
  • 2012Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities66 cited
  • 2003Moments of the ARMA–EGARCH model59 cited
  • 2014Long Memory and Periodicity in Intraday Volatility57 cited
  • 2004Stylized Facts of Financial Time Series and Three Popular Models of Volatility57 cited
  • 2010Stylized facts of return series, robust estimates and three popular models of volatility49 cited
  • 2018Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect49 cited
  • 2003The Moments of Log-Acd Models47 cited
  • 2007Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH45 cited
  • 2002Long memory properties and covariance structure of the EGARCH model42 cited