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ArticleGARCH(1, 1) processes are near epoch dependent

Bruce E. Hansen1991

Article1991

GARCH(1, 1) processes are near epoch dependent

Bruce E. Hansen

61 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992ARCH modeling in finance 1988Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes

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1996Nuisance parameter free properties of correlation integral based statistics 2014Multi-scale tests for serial correlation 2008Identifying Term Structure Volatility from the LIBOR-Swap Curve 2019International trade, foreign direct investments, and firms’ systemic risk : Evidence from the Netherlands 2011A new fluctuation test for constant variances with applications to finance 2008The functional central limit theorem for a family of GARCH observations with applications 2020A robust method for shift detection in time series 2007A GMM procedure for combining volatility forecasts

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Year1991

Typearticle

Published1991-06-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations61

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0165-1765(91)90186-o

openalex_workW2163789136

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