Aggregation in arch models

Lithuanian Mathematical Journal

Volumn 42, Issue 1, 2002, Pages 54-70

  Leipus, R ^a,b   Viano, M C ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

^b UNIV LILLE   (France)

Author keywords

Aggregation; Arch( ); Garch(1, 1) model; Model; Random coefficients

Indexed keywords

EID: 1542665696     PISSN: 03631672     EISSN: 15738825     Source Type: Journal    
DOI: 10.1023/A:1015021801709     Document Type: Article

References (18)

1. M. L. Barnes and P. J. F. de Lima, Long memory in the volatility of portfolios and the aggregation of short-memory processes, Preprint (1998).
2. T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, J. Econometrics, 31, 307-327 (1986).
3. P. Bougeral and N. Picard, Stationarity of G ARCH processes and of some nonnegative time series, J. Econometrics, 52, 115-127 (1992).
4. Z. Ding and C. W. J. Granger, Modeling volatility persistence of speculative returns: a new approach, J. Econometrics, 73, 185-215 (1996).
5. L. Giraitis, P. Kokoszka, and R. Leipus, Stationary ARCH models: dependence structure and Central Limit Theorem, Econometric Theory, 16, 3-22 (2000).
6. E. Gonçalves and C. Gouriéroux, Aggregation de processus autoregressifs d'ordre 1, Ann. Econom. Statist., 12, 127-149 (1988).
7. C. W. J. Granger, Long memory relationship and the aggregation of dynamic models, J. Econometrics, 14, 227-238 (1980).
8. J. G. Haubrich and A. W. Lo, The source and nature of long-term memory in the business cycle, Rodney White Center working paper No. 5-89, Wharton School, University of Pennsylvania (1989).
9. V. Kazakevicius and R. Leipus, On Stationarity in the ARCH(oc) model, Econometric Theory, to appear.
10. V. Kazakevicius, R. Leipus, and M.-C. Viano, Stability of random coefficient autoregressive conditionally heteroskedastic models, Preprint (2000).
11. P. Kokoszka and R. Leipus, Change-point estimation in ARCH models, Bernoulli, 6, 513-539 (2000).
12. M. Lippi and P. Zaffaroni, Contemporaneous aggregation of linear dynamic models in large economies, Preprint (1999).
13. I. N. Lobato and N. E. Savin, Real and spurious long-memory properties of stock-market data (with comments), J. Bus. Econom. Statist., 16, 261-283 (1998).
14. D. B. Nelson, Stationarity and persistence in the GARCH(1, 1) model, Econometric Theory, 6, 318-334 (1990).
15. D. B. Nelson and C. Q. Cao, Inequality constraints in the univariate GARCH model, J. Bus. Econom. Statist., 10, 229-235 (1992).
16. G. Oppenheim and M.-C.Viano, Obtaining long memory by aggregating random coefficients discrete and continuous time simple short memory processes, PUB. IRMA Vol. 49, No. V LILLE (1999).
17. P. M. Robinson, Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression, J. Econometrics, 47, 67-84 (1991).
18. T. Teräsvirta, Two stylized facts and the GARCH(1,1) model, SSE/EFI Working Paper Series in Economics and Finance, No. 96, Stockholm School of Economics (1996).