Semi- and nonparametric ARCH processes

Journal of Probability and Statistics

Volumn , Issue , 2011, Pages

  Linton, Oliver B ^a   Yan, Yang ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 80051914135     PISSN: 1687952X     EISSN: 16879538     Source Type: Journal    
DOI: 10.1155/2011/906212     Document Type: Review

References (92)

1. Mandelbrot B., The variation of certain speculative prices Journal of Business 1963 36 394 419
2. Fama E. F., The behavior of stock market prices Journal of Business 1965 38 34 105
3. Engle R. F., Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation Econometrica 1982 50 4 987 1007
4. Bollerslev T., Generalized autoregressive conditional heteroskedasticity Journal of Econometrics 1986 31 3 307 327
5. Bollerslev T., Engle R. F., Nelson D. B., Engle R. F., McFadden D. L., Arch models Handbook of Econometrics, Vol. IV 1994 2 Amsterdam, The Netherlands North-Holland 2959 3038 Handbooks in Econom.
6. Drost F. C., Nijman T. E., Temporal aggregation of GARCH processes Econometrica 1993 61 4 909 927
7. Tsay R., A critique of GARCH models 2007
8. Weiss A. A., Asymptotic theory for ARCH models: estimation and testing Econometric Theory 1986 2 1 107 131
9. Bollerslev T., Wooldridge J. M., Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Econometric Reviews 1992 11 2 143 172
10. Engle R., Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models Journal of Business and Economic Statistics 2002 20 3 339 350
11. Linton O., Adaptive estimation in ARCH models Econometric Theory 1993 9 4 539 569
12. Drost F. C., Klaassen C. A. J., Efficient estimation in semiparametric GARCH models Journal of Econometrics 1997 81 1 193 221 (Pubitemid 127398240)
13. Nelson D. B., Conditional heteroskedasticity in asset returns: a new approach Econometrica 1991 59 2 347 370
14. Glosten L. R., Jagannathan R., Runkle D. E., On the relation between the expected value and the volatility of the nominal excess returns on stocks Journal of Finance 1993 48 1779 1801
15. Pagan A. R., Schwert G. W., Alternative models for conditional stock volatility Journal of Econometrics 1990 45 1-2 267 290
16. Pagan A. R., Hong Y. S., Barnett W., Powell J., Tauchen G. E., Nonparametric estimation and the risk premium Nonparametric and Semiparametric Methods in Econometrics and Statistics 1991 Cambridge, UK Cambridge University Press
17. Hrdle W., Tsybakov A., Local polynomial estimators of the volatility function in nonparametric autoregression Journal of Econometrics 1997 81 1 223 242 (Pubitemid 127398241)
18. Hrdle W., Tsybakov A., Yang L., Nonparametric vector autoregression Journal of Statistical Planning and Inference 1998 68 2 221 245 (Pubitemid 128180638)
19. Masry E., Tjstheim D., Nonparametric estimation and identification of nonlinear ARCH time series Econometric Theory 1995 11 2 258 289
20. Lu Z., Linton O., Local linear fitting under near epoch dependence Econometric Theory 2007 23 1 37 70
21. Fan J., Yao Q., Efficient estimation of conditional variance functions in stochastic regression Biometrika 1998 85 3 645 660
22. Avramidis P., Local maximum likelihood estimation of volatility function. manuscript
23. Franke J., Neumann M. H., Stockis J.-P., Bootstrapping nonparametric estimators of the volatility function Journal of Econometrics 2004 118 1-2 189 218
24. Stone C. J., Optimal rates of convergence for nonparametric estimators The Annals of Statistics 1980 8 6 1348 1360
25. Perron B., A Monte Carlo Comparison of Non-parametric Estimator of the Conditional Variance. Mimeo, 1998
26. Hastie T. J., Tibshirani R. J., Generalized Additive Models 1990 43 London, UK Chapman and Hall xvi+335 Monographs on Statistics and Applied Probability
27. Linton O., Nielsen J. P., A kernel method of estimating structured nonparametric regression based on marginal integration Biometrika 1995 82 1 93 100
28. Tjstheim D., Auestad B. H., Nonparametric identification of nonlinear time series: projections Journal of the American Statistical Association 1994 89 428 1398 1409
29. Stone C. J., Additive regression and other nonparametric models The Annals of Statistics 1985 13 2 689 705
30. Yang L., Hrdle W., Nielsen J. P., Nonparametric autoregression with multiplicative volatility and additive mean Journal of Time Series Analysis 1999 20 5 579 604
31. Kim W., Linton O., The live method for generalized additive volatility models Econometric Theory 2004 20 6 1094 1139 (Pubitemid 39594143)
32. Linton O., Mammen E., Estimating semiparametric ARCH(∞) models by kernel smoothing methods Econometrica 2005 73 3 771 836 (Pubitemid 41623680)
33. Engle R. F., Ng V. K., Measuring and testing the impact of news on volatility The Journal of Finance 1993 48 1749 1778
34. Yang L., A semiparametric GARCH model for foreign exchange volatility Journal of Econometrics 2006 130 2 365 384 (Pubitemid 43144868)
35. Robinson P. M., Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression Journal of Econometrics 1991 47 1 67 84
36. Audrino F., Bhlmann P., Tree-structured generalized autoregressive conditional heteroscedastic models Journal of the Royal Statistical Society. Series B 2001 63 4 727 744
37. Merton R. C., An intertemporal capital asset pricing model Econometrica 1973 41 867 887
38. Engle R. F., Lilien D. M., Robins R. P., Estimating time varying risk premia in the term structure: the ARCH-M model Econometrica 1987 19 3 29
39. Pagan A. R., Ullah A., The econometric analysis of models with risk terms Journal of Applied Econometrics 1988 3 87 105
40. Linton O., Perron B., The shape of the risk premium: evidence from a semiparametric generalized autoregressive conditional heteroscedasticity model Journal of Business Economic Statistics 2003 21 3 354 367 (Pubitemid 36931259)
41. Bollerslev T., Mikkelsen H. O., Modeling and pricing long memory in stock market volatility Journal of Econometrics 1996 73 1 151 184 (Pubitemid 126373959)
42. Mikosch T., Stric C., Limit theory for the sample autocorrelations and extremes of a GARCH(1,1) process The Annals of Statistics 2000 28 5 1427 1451 (Pubitemid 33244921)
43. Giraitis L., Leipus R., Surgailis D., ARCH (∞) models and long memory properties Handbook of Financial Time Series 2009 Berlin, Germany Springer 71 84
44. Dahlhaus R., Fitting time series models to nonstationary processes The Annals of Statistics 1997 25 1 1 37
45. Dahlhaus R., Subba Rao S., Statistical inference for time-varying ARCH processes The Annals of Statistics 2006 34 3 1075 1114 (Pubitemid 44231157)
46. Spokoiny V., Cizek P., Varying coefficient GARCH Models Handbook of Financial Time Series 2007 Berlin, Germany Springer
47. Engle R. F., Rangel J. G., The spline-GARCH model for low-frequency volatility and its global macroeconomic causes Review of Financial Studies 2008 21 3 1187 1222
48. Bosq D., Nonparametric Statistics for Stochastic Processes. Estimation and Prediction 1998 110 2nd New York, NY, USA Springer xvi+210 Lecture Notes in Statistics
49. Engle R. F., The econometrics of ultra-high-frequency data Econometrica 2000 68 1 1 22
50. Back K., Asset pricing for general processes Journal of Mathematical Economics 1991 20 4 371 395
51. Bollerslev T., Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model Review of Economics and Statistics 1990 72 498 505
52. Engle R., Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models Journal of Business Economic Statistics 2002 20 3 339 350
53. Hafner C. M., Rombouts J. V. K., Semiparametric multivariate volatility models Econometric Theory 2007 23 2 251 280
54. Gallant A. R., Tauchen G., Seminonparametric estimation of conditionally constrained heterogeneous processes: asset pricing applications Econometrica 1989 57 5 1091 1120
55. Ingersoll J. E., Theory of Financial Decision Making 1987 Totowa, NJ, USA Rowman Littlefield
56. Chen X., Fan Y., Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification Journal of Econometrics 2006 135 1-2 125 154 (Pubitemid 44376456)
57. Embrechts P., McNeil A. J., Straumann D., Dempster M., Alan M., Dempster H., Correlation and dependence in risk management: properties and pitfalls Risk Management: Value at Risk and Beyond (Cambridge, 1998) 2002 Cambridge, UK Cambridge University Press 176 223
58. Patton A. J., Estimation of multivariate models for time series of possibly different lengths Journal of Applied Econometrics 2006 21 2 147 173 (Pubitemid 43528505)
59. Patton A. J., Modelling asymmetric exchange rate dependence International Economic Review 2006 47 2 527 556 (Pubitemid 43543933)
60. Jondeau E., Rockinger M., The Copula-GARCH model of conditional dependencies: an international stock market application Journal of International Money and Finance 2006 25 5 827 853 (Pubitemid 44340881)
61. Panchenko V., Estimating and evaluating the predictive abilities of semiparametric multivariate models with application to risk management. Computing in Economics and Finance, No.382, 2006
62. Rodriguez J. C., Measuring financial contagion: a Copula approach Journal of Empirical Finance 2007 14 3 401 423
63. Okimoto T., New evidence of asymmetric dependence structures in international equity markets Journal of Financial and Quantitative Analysis 2008 43 3 787 815
64. Chollette L., Heinen A., Valdesogo A. I., Modelling international financial returns with a multivariate regime switching copula CORE Discussion paper 2008 2008/13
65. Pelletier D., Regime switching for dynamic correlations Journal of Econometrics 2006 131 1-2 445 473
66. Hafner C. M., van Dijk D., Franses P. H., Fomby T., Hill C., Terrell D., Semi-parametric modelling of correlation dynamics Econometric Analysis of Financial and Economic Time Series. Part A 2005 20 Bingley, UK Emerald/JAI 59 103 Advanced in Econometrics (Pubitemid 43583934)
67. Hafner C. M., Linton O. B., Efficient estimation of a multivariate multiplicative volatility model working paper 2009
68. Feng Y., A local dynamic conditional correlation model MPRA paper 2007 1592
69. Nelson D. B., Stationarity and persistence in the GARCH(1,1) model Econometric Theory 1990 6 3 318 334
70. Bougerol P., Picard N., Stationarity of GARCH processes and of some nonnegative time series Journal of Econometrics 1992 52 1-2 115 127
71. Giraitis L., Kokoszka P., Leipus R., Stationary ARCH models: dependence structure and central limit theorem Econometric Theory 2000 16 1 3 22
72. Ling S., McAleer M., Stationarity and the existence of moments of a family of GARCH processes Journal of Econometrics 2002 106 1 109 117
73. Lindner A. M., Stationarity, mixing, distributional properties and moments of GARCH(p,q) processes Handbook of Financial Time Series 2009 Berlin, Germany Springer 43 70
74. Kazakeviius V., Leipus R., Viano M.-C., Stability of random coefficient ARCH models and aggregation schemes Journal of Econometrics 2004 120 1 139 158
75. Kazakeviius V., Leipus R., On stationarity in the ARCH(∞) model Econometric Theory 2002 18 1 1 16
76. Douc R., Roueff F., Soulier P., On the existence of some ARCH(∞) processes Stochastic Processes and Their Applications 2008 118 5 755 761
77. Chen X., Fan Y., Estimation of copula-based semiparametric time series models Journal of Econometrics 2006 130 2 307 335 (Pubitemid 43144866)
78. Beare B., Copulas and temporal dependence UCSD Economics Working Paper 2008 2008-10
79. Chen X., Wu W. B., Yi Y., Efficient estimation of copula-based semiparametric Markov models The Annals of Statistics 2009 37 6B 4214 4253
80. Lumsdaine R. L., Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models Econometrica 1996 64 3 575 596 (Pubitemid 126464416)
81. Lee S.-W., Hansen B. E., Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator Econometric Theory 1994 10 1 29 52
82. Hall P., Yao Q., Inference in ARCH and GARCH models with heavy-tailed errors Econometrica 2003 71 1 285 317
83. Jensen S. T., Rahbek A., Asymptotic inference for nonstationary GARCH Econometric Theory 2004 20 6 1203 1226 (Pubitemid 39594146)
84. Giraitis L., Robinson P. M., Whittle estimation of arch models Econometric Theory 2001 17 3 608 631 (Pubitemid 33720785)
85. Peng L., Yao Q., Least absolute deviations estimation for ARCH and GARCH models Biometrika 2003 90 4 967 975 (Pubitemid 39047132)
86. Linton O., Pan J., Wang H., Estimation for a nonstationary semi-strong GARCH(1,1) with heavy-tailed errors Econometric Theory 2010 26 1 1 28
87. Sun Y., Stengos T., Semiparametric efficient adaptive estimation of asymmetric GARCH models Journal of Econometrics 2006 133 1 373 386 (Pubitemid 44037193)
88. Kim W., Linton O., Estimation of a semiparametric IGARCH(1,1) model LSE STICERD Research Paper 2009 EM539
89. Chen X., Fan Y., Tsyrennikov V., Efficient estimation of semiparametric multivariate copula models Journal of the American Statistical Association 2006 101 475 1228 1240 (Pubitemid 44422620)
90. Fermanian J.-D., Radulovi D., Wegkamp M., Weak convergence of empirical copula processes Bernoulli 2004 10 5 847 860 (Pubitemid 44242752)
91. Fermanian J.-D., Scaillet O., Nonparametric estimation of copulas for time series Journal of Risk 2003 5 25 54
92. Chen S. X., Huang T.-M., Nonparametric estimation of copula functions for dependence modelling The Canadian Journal of Statistics 2007 35 2 265 282