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Econometric Theory
Volumn 20, Issue 1, 2004, Pages 147-160
Stationarity and memory of ARCH(∞) models
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Indexed keywords

EID: 0742288824     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466604201062     Document Type: Article
Times cited : (35)
References (15)
  • 1
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    • Bollerslev, T.1
  • 3
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of the United Kingdom
    • Engle, R.F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of the United Kingdom. Econometrica 50, 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 4
    • 0034395874 scopus 로고    scopus 로고
    • Stationary ARCH models: Dependence structure and central limit theorem
    • Giraitis, L., P. Kokoska, & R. Leipes (2000) Stationary ARCH models: Dependence structure and central limit theorem. Econometric Theory 16, 3-22.
    • (2000) Econometric Theory , vol.16 , pp. 3-22
    • Giraitis, L.1    Kokoska, P.2    Leipes, R.3
  • 5
  • 6
    • 17944381604 scopus 로고    scopus 로고
    • Fourth moment structure of the GARCH(p,q) process
    • He, C. & T. Teräsvirta (1999) Fourth moment structure of the GARCH(p,q) process. Econometric Theory 15, 824-846.
    • (1999) Econometric Theory , vol.15 , pp. 824-846
    • He, C.1    Teräsvirta, T.2
  • 7
    • 0141800643 scopus 로고    scopus 로고
    • One-sided testing for conditional heteroskedasticity in time series models
    • Hong, Y. (1997) One-sided testing for conditional heteroskedasticity in time series models. Journal of Time Series Analysis 18, 253-277.
    • (1997) Journal of Time Series Analysis , vol.18 , pp. 253-277
    • Hong, Y.1
  • 8
    • 0001448881 scopus 로고    scopus 로고
    • The second moment and the autocovariance function of the squared errors of the GARCH model
    • Karanasos, M. (1999) The second moment and the autocovariance function of the squared errors of the GARCH model. Journal of Econometrics 90, 63-76.
    • (1999) Journal of Econometrics , vol.90 , pp. 63-76
    • Karanasos, M.1
  • 9
    • 0033236711 scopus 로고    scopus 로고
    • On the probabilistic properties of a double threshold ARMA conditional heteroskedasticity model
    • Ling, S. (1999) On the probabilistic properties of a double threshold ARMA conditional heteroskedasticity model. Journal of Applied Probability 36, 688-705.
    • (1999) Journal of Applied Probability , vol.36 , pp. 688-705
    • Ling, S.1
  • 10
    • 0036015422 scopus 로고    scopus 로고
    • Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models
    • Ling, S. & M. McAleer (2002) Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models. Econometric Theory 18, 722-729.
    • (2002) Econometric Theory , vol.18 , pp. 722-729
    • Ling, S.1    McAleer, M.2
  • 12
    • 0000060003 scopus 로고
    • The moment structure of ARCH processes
    • Milhøj, A. (1985) The moment structure of ARCH processes. Scandinavian Journal of Statistics 12, 281-292.
    • (1985) Scandinavian Journal of Statistics , vol.12 , pp. 281-292
    • Milhøj, A.1
  • 13
    • 84972091517 scopus 로고
    • Stationarity and persistence in the GARCH(1,1) model
    • Nelson, D. (1990) Stationarity and persistence in the GARCH(1,1) model. Econometric Theory 6, 318-334.
    • (1990) Econometric Theory , vol.6 , pp. 318-334
    • Nelson, D.1
  • 15
    • 0003103947 scopus 로고
    • Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
    • Robinson, P.M. (1991) Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Journal of Econometrics 47, 67-84.
    • (1991) Journal of Econometrics , vol.47 , pp. 67-84
    • Robinson, P.M.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.