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STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
10 references·16 citing·38 second hop
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM (2000)STATIONARY ARCH MODELS: DEPENDENCE STRUCT…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …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…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …The Long Range Dependence Paradigm for Macroeconomics and Finance (2011)The Long Range Dependence Par…Structural Breaks in Financial Time Series (2009)Structural Breaks in Financia…Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (2009)Stationarity, Mixing, Distrib…Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (2009)Asymptotic normality of the q…An Introduction to Univariate GARCH Models (2009)An Introduction to Univariate…Robust estimates for GARCH models (2007)Robust estimates for GARCH mo…Statistical inference for time-varying ARCH processes (2006)Statistical inference for tim…Inequality Constraints in the Fractionally Integrated GARCH Model (2006)Inequality Constraints in the…Volatility Forecasting (2005)Volatility ForecastingHow can we Define the Concept of Long Memory? An Econometric Survey (2005)How can we Define the Concept…Volatility processes and volatility forecast with long memory (2004)Volatility processes and vola…Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (2003)Gaussian semiparametric estim…MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS (2002)MOMENT STRUCTURE OF A FAMILY …Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2002)Microeconomic Models for Long…WHITTLE ESTIMATION OF ARCH MODELS (2001)WHITTLE ESTIMATION OF ARCH MO…A model for long memory conditional heteroscedasticity (2000)A model for long memory condi…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)Modelling Nonlinear Economic Time Series (2010)Multivariate GARCH models: a surveyGeneralized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)The Distribution of Exchange Rate Volatility (1999)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Time-changed Lévy processes and option pricing (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)ARCH modeling in finance (1992)Quadratic ARCH Models (1995)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Modelling the persistence of conditional variances (1986)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)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Distribution of Stock Return Volatility (2000)A multiple indicators model for volatility using intra-daily data (2005)
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References

  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 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

Cited by

  • 2006Statistical inference for time-varying ARCH processes251 cited
  • 2009An Introduction to Univariate GARCH Models174 cited
  • 2006Inequality Constraints in the Fractionally Integrated GARCH Model141 cited
  • 2007Robust estimates for GARCH models131 cited
  • 2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series

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125 cited
  • 2005Volatility Forecasting118 cited
  • 2009Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes108 cited
  • 2004Volatility processes and volatility forecast with long memory104 cited
  • 2002MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS103 cited
  • 2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited
  • 2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes92 cited
  • 2009Structural Breaks in Financial Time Series92 cited
  • 2000A model for long memory conditional heteroscedasticity91 cited
  • 2001WHITTLE ESTIMATION OF ARCH MODELS90 cited
  • 2011The Long Range Dependence Paradigm for Macroeconomics and Finance90 cited
  • 2003Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models89 cited