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ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS

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References

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2002Stationarity and the existence of moments of a family of GARCH processes357 cited

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2001

A nonlinear autoregressive conditional duration model with applications to financial transaction data

319 cited

2003Asymptotic theory for multivariate GARCH processes301 cited

Cited by

2006MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS127 cited
2008Nonparametric estimation of conditional VaR and expected shortfall123 cited
2009On asymptotic theory for multivariate GARCH models112 cited
2012Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality77 cited
2008Stability of nonlinear AR‐GARCH models76 cited
2006A Mixture Multiplicative Error Model for Realized Volatility75 cited
2014ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS65 cited
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure64 cited
2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL63 cited
2009Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model60 cited
2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL59 cited
2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS53 cited
2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model53 cited
2011Mixing properties of ARCH and time-varying ARCH processes48 cited
2009ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL46 cited
2015DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS38 cited