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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
16 references·16 citing·21 second hopsampled
On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity (1997)On Fractionally Integrated Autoregressive…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Analysing inflation by the fractionally integrated ARFIMA-GARCH model (1996)Analysing inflation by the fr…ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY (1994)ON THE SQUARED RESIDUAL AUTOC…On the power of unit root tests against fractional alternatives (1994)On the power of unit root tes…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…ARCH modeling in finance (1992)ARCH modeling in financeLong memory and persistence in aggregate output (1989)Long memory and persistence i…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Asymptotic Theory for ARCH Models: Estimation and Testing (1986)Asymptotic Theory for ARCH Mo…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Testing for a break in the persistence in yield spreads of EMU government bonds (2014)Testing for a break in the pe…Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models (2011)Global self-weighted and loca…Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (2006)Self-weighted and local quasi…Recent Advances in ARCH Modelling (2006)Recent Advances in ARCH Model…An econometric analysis of asymmetric volatility: Theory and application to patents (2006)An econometric analysis of as…On linear processes with dependent innovations (2005)On linear processes with depe…Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (2005)Finite Sample Comparison of P…On adaptive estimation in nonstationary ARMA Models with GARCH errors (2003)On adaptive estimation in non…Estimation and Testing Stationarity for Double-Autoregressive Models (2003)Estimation and Testing Statio…Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence (2003)Estimation and Testing for Un…MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS (2002)MOMENT STRUCTURE OF A FAMILY …Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence (2002)Maximum likelihood estimation…A Multivariate GARCH Model with Time-Varying Correlations (2000)A Multivariate GARCH Model wi…On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model (1999)On the probabilistic properti…Fractional cointegration and futures hedging (1999)Fractional cointegration and …Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors (1998)Limiting distributions of max…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Fractional Brownian Motions, Fractional Noises and Applications (1968)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Exponential smoothing: The state of the art (1985)Using daily stock returns (1985)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1977Time Series Analysis: Forecasting and Control6,446 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model557 cited
  • 1989Long memory and persistence in aggregate output546 cited
  • 1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
  • 1994On the power of unit root tests against fractional alternatives309 cited

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  • 1994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY285 cited
  • Cited by

    • 2006An econometric analysis of asymmetric volatility: Theory and application to patents193 cited
    • 2006Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models144 cited
    • 2003On adaptive estimation in nonstationary ARMA Models with GARCH errors143 cited
    • 2003Estimation and Testing Stationarity for Double-Autoregressive Models135 cited
    • 2011Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models110 cited
    • 1998Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors105 cited
    • 2005On linear processes with dependent innovations104 cited
    • 2002MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS103 cited
    • 1999On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model98 cited
    • 1999Fractional cointegration and futures hedging81 cited
    • 2000A Multivariate GARCH Model with Time-Varying Correlations77 cited
    • 2006Recent Advances in ARCH Modelling76 cited
    • 2003Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence74 cited
    • 2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration74 cited
    • 2002Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence71 cited
    • 2014Testing for a break in the persistence in yield spreads of EMU government bonds71 cited