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ArticleARCH-type bilinear models with double long memory

Liudas Giraitis2002

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Articlebronze2002

ARCH-type bilinear models with double long memory

Liudas Giraitis · Донатас Сургайлис

71 citations·0/0 files stored·Stochastic Processes and their Applications

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Time Series Analysis and Forecasting

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1994Modelling of extremal events in insurance and finance 1996Modeling and pricing long memory in stock market volatility 1990Stationarity and Persistence in the GARCH(1,1) Model 1975Weak convergence to fractional brownian motion and to the rosenblatt process 1992Stationarity of Garch processes and of some nonnegative time series 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

Cited by

2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series 2007On the existence of some ARCH(∞) processes 2010Inconsistency of the MLE and inference based on weighted LS for LARCH models 2003Stability of random coefficient ARCH models and aggregation schemes 2005Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate Garch(p

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2006Recent Advances in ARCH Modellingchapter · 14 shared references 2009ARCH(∞) Models and Long Memory Propertieschapter · 12 shared references 2011The Long Range Dependence Paradigm for Macroeconomics and Financepreprint · 8 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 7 shared references 2001A Survey of Recent Theoretical Results for Time Series Models with GARCH Errorspreprint · 7 shared references 2005Volatility Forecastingreport · 6 shared references

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Year2002

Typearticle

Published2002-07-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations71

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4149(02)00108-4

openalex_workW2054648992

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2008An empirical central limit theorem with applications to copulas under weak dependence

2008On stationarity and ergodicity of the bilinear model with applications to GARCH models

2009ARCH(∞) Models and Long Memory Properties