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On Asymptotic Theory for ARCH (∞) Models

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  • Christian M. Hafner
  • Arie Preminger

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  • Christian M. Hafner & Arie Preminger, 2017. "On Asymptotic Theory for ARCH (∞) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 865-879, November.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:6:p:865-879
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    File URL: http://hdl.handle.net/10.1111/jtsa.12239
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    References listed on IDEAS

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    1. Christian Conrad & Berthold R. Haag, 2006. "Inequality Constraints in the Fractionally Integrated GARCH Model," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 413-449.
    2. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    3. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    4. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
    7. Davidson, James, 2004. "Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 16-29, January.
    8. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Royer, Julien, 2023. "Conditional asymmetry in Power ARCH(∞) models," Journal of Econometrics, Elsevier, vol. 234(1), pages 178-204.
    2. Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
    3. Yuanyuan Zhang & Rong Liu & Qin Shao & Lijian Yang, 2020. "Two‐Step Estimation for Time Varying Arch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 551-570, July.

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