Add to ORKGFollowing Hamilton (1989), in this paper, we propose a semimartingale model with con-ditional mean of the observed process driven by a semimartingale and the volatility driven by a GARCH process. Moment properties of these models including kurtosis are studied in some detail
AbstractThe squares of a GARCH(p,q) process satisfy an ARMA equation with white noise innovations an...
In this paper we study the behavior of GARCH(1,1) parameter estimates when data is generated by cert...
A new semiparametric observation-driven volatility model is proposed. In contrast to the standard se...
In this paper we derive neat matrix formulas in closed form for computing higher order moments and k...
In this paper we study high moment partial sum processes based on residuals of a stationary ARMA mod...
The paper considers a volatility model that includes a persistent, integrated or nearly integrated, ...
Although econometricians have been using Bollerslev's (1986, Journal of Econometrics 31, 307-327) GA...
The GARCH (p, q) model is a very interesting stochastic process with widespread applications and a c...
It is generally admitted that many financial time series have heavy tailed marginal distributions. W...
This paper analyzes the out-of-sample ability of different parametric and semiparametric GARCH-type ...
Probabilistic properties of HARCH(k) processes, as special stochastic volatility models, are investi...
We derive sufficient conditions for the existence of second and fourth moments of Markov switching m...
Recently, there has been a growing interest in integer-valued time series models. In this paper, usi...
ARCH and GARCH models directly address the dependency of conditional second moments, and have proved...
This article analyses the statistical properties of that general class of conditional heteroscedasti...
AbstractThe squares of a GARCH(p,q) process satisfy an ARMA equation with white noise innovations an...
In this paper we study the behavior of GARCH(1,1) parameter estimates when data is generated by cert...
A new semiparametric observation-driven volatility model is proposed. In contrast to the standard se...
In this paper we derive neat matrix formulas in closed form for computing higher order moments and k...
In this paper we study high moment partial sum processes based on residuals of a stationary ARMA mod...
The paper considers a volatility model that includes a persistent, integrated or nearly integrated, ...
Although econometricians have been using Bollerslev's (1986, Journal of Econometrics 31, 307-327) GA...
The GARCH (p, q) model is a very interesting stochastic process with widespread applications and a c...
It is generally admitted that many financial time series have heavy tailed marginal distributions. W...
This paper analyzes the out-of-sample ability of different parametric and semiparametric GARCH-type ...
Probabilistic properties of HARCH(k) processes, as special stochastic volatility models, are investi...
We derive sufficient conditions for the existence of second and fourth moments of Markov switching m...
Recently, there has been a growing interest in integer-valued time series models. In this paper, usi...
ARCH and GARCH models directly address the dependency of conditional second moments, and have proved...
This article analyses the statistical properties of that general class of conditional heteroscedasti...
AbstractThe squares of a GARCH(p,q) process satisfy an ARMA equation with white noise innovations an...
In this paper we study the behavior of GARCH(1,1) parameter estimates when data is generated by cert...
A new semiparametric observation-driven volatility model is proposed. In contrast to the standard se...