L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Bossaerts, P. & Härdle, Wolfgang & Hafner, C., 1995. "A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series," SFB 373 Discussion Papers 1995,45, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lijian Yang & Wolfgang Hardle & Jens Nielsen, 1999.
"Nonparametric Autoregression with Multiplicative Volatility and Additive mean,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 579-604, September.
- Yang, L. & Härdle, Wolfgang, 1996. "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," SFB 373 Discussion Papers 1996,62, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998. "Nonparametric autoregression with multiplicative volatility and additive mean," SFB 373 Discussion Papers 1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Baillie, Richard T. & DeGennaro, Ramon P., 1990.
"Stock Returns and Volatility,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 203-214, June.
- Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
- Lu, Zudi, 1996. "A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model," Statistics & Probability Letters, Elsevier, vol. 30(4), pages 305-311, November.
- 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.
- Tweedie, Richard L., 1975. "Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space," Stochastic Processes and their Applications, Elsevier, vol. 3(4), pages 385-403, October.
- Hardle, W. & Tsybakov, A., 1997.
"Local polynomial estimators of the volatility function in nonparametric autoregression,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 223-242, November.
- Härdle, Wolfgang & Tsybakov, A., 1995. "Local Polynomial Estimators of the Volatility Function in Nonparametric Autoregression," SFB 373 Discussion Papers 1995,42, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Masry, Elias & Tjøstheim, Dag, 1995. "Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality," Econometric Theory, Cambridge University Press, vol. 11(2), pages 258-289, February.
- Bhattacharya, Rabi & Lee, Chanho, 1995. "On geometric ergodicity of nonlinear autoregressive models," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 311-315, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mika Meitz & Pentti Saikkonen, 2008.
"Stability of nonlinear AR‐GARCH models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 453-475, May.
- MEITZ, Mika & SAIKKONEN, Pentti, 2006. "Stability of nonlinear AR-GARCH models," LIDAM Discussion Papers CORE 2006078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mika Meitz & Pentti Saikkonen & University of Helsinki, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics.
- Meitz, Mika & Saikkonen, Pentti, 2006. "Stability of nonlinear AR-GARCH models," SSE/EFI Working Paper Series in Economics and Finance 632, Stockholm School of Economics.
- Meitz, Mika & Saikkonen, Pentti, 2008.
"Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models,"
Econometric Theory, Cambridge University Press, vol. 24(5), pages 1291-1320, October.
- Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," SSE/EFI Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007.
- Mika Meitz & Pentti Saikkonen & University of Helsinki, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
- Meitz, Mika & Saikkonen, Pentti, 2010.
"A note on the geometric ergodicity of a nonlinear AR-ARCH model,"
Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 631-638, April.
- Mika Meitz & Pentti Saikkonen, 2010. "A note on the geometric ergodicity of a nonlinear AR–ARCH model," Koç University-TUSIAD Economic Research Forum Working Papers 1003, Koc University-TUSIAD Economic Research Forum.
- Zhu, Huafeng & Zhang, Xingfa & Liang, Xin & Li, Yuan, 2017. "On a vector double autoregressive model," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 86-95.
- Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
- Levine, Michael & Li, Jinguang (Tony), 2012. "A simple additivity test for conditionally heteroscedastic nonlinear autoregression," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2421-2429.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2015.
"Structure and asymptotic theory for nonlinear models with GARCH erros,"
Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(1), pages 1-21.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010. "Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors," Working Papers in Economics 10/79, University of Canterbury, Department of Economics and Finance.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010. "Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors," KIER Working Papers 754, Kyoto University, Institute of Economic Research.
- Chan, F. & McAleer, M.J. & Medeiros, M.C., 2011. "Structure and Asymptotic theory for Nonlinear Models with GARCH Errors," Econometric Institute Research Papers EI 2010-79, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Lu, Zudi & Linton, Oliver, 2007. "Local Linear Fitting Under Near Epoch Dependence," Econometric Theory, Cambridge University Press, vol. 23(1), pages 37-70, February.
- Carvalho, Alexandre & Skoulakis, Georgios, 2005. "Ergodicity and existence of moments for local mixtures of linear autoregressions," Statistics & Probability Letters, Elsevier, vol. 71(4), pages 313-322, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Linton, Oliver & Mammen, Enno, 2003.
"Estimating semiparametric ARCH (8) models by kernel smoothing methods,"
LSE Research Online Documents on Economics
2187, London School of Economics and Political Science, LSE Library.
- Enno Mammen & Oliver Linton, 2004. "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers dp511, Financial Markets Group.
- Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lijian Yang & Wolfgang Hardle & Jens Nielsen, 1999.
"Nonparametric Autoregression with Multiplicative Volatility and Additive mean,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 579-604, September.
- Yang, L. & Härdle, Wolfgang, 1996. "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," SFB 373 Discussion Papers 1996,62, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998. "Nonparametric autoregression with multiplicative volatility and additive mean," SFB 373 Discussion Papers 1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rolf Tschernig & Lijian Yang, 2000.
"Nonparametric Lag Selection for Time Series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 21(4), pages 457-487, July.
- Tschernig, Rolf & Yang, Lijian, 1997. "Nonparametric lag selection for time series," SFB 373 Discussion Papers 1997,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Mohamed Chikhi & Claude Diebolt, 2010.
"Nonparametric analysis of financial time series by the Kernel methodology,"
Quality & Quantity: International Journal of Methodology, Springer, vol. 44(5), pages 865-880, August.
- Mohamed Chikhi & Claude Diebolt, 2006. "Nonparametric Analysis of Financial Time Series by the Kernel Methodology," Working Papers 06-11, Association Française de Cliométrie (AFC).
- Kim, Woocheol & Linton, Oliver, 2003.
"A local instrumental variable estimation method for generalized additive volatility models,"
LSE Research Online Documents on Economics
2028, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2004. "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers dp509, Financial Markets Group.
- Kim, Woocheol & Linton, Oliver, 2004. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 24758, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series 456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
- Lu, Zudi & Linton, Oliver, 2007. "Local Linear Fitting Under Near Epoch Dependence," Econometric Theory, Cambridge University Press, vol. 23(1), pages 37-70, February.
- Panagiotis Avramidis, 2016. "Adaptive likelihood estimator of conditional variance function," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 132-151, March.
- O. Linton & E. Mammen, 2005.
"Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods,"
Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 58068, London School of Economics and Political Science, LSE Library.
- Chikhi, Mohamed & Terraza, Michel, 2002. "Un essai de prévision non paramétrique de l'action France Télécom [A nonparametric prediction test of the France Telecom stock proces]," MPRA Paper 77268, University Library of Munich, Germany, revised Dec 2003.
- Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
- Alagidede, Paul & Panagiotidis, Theodore, 2009.
"Modelling stock returns in Africa's emerging equity markets,"
International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
- Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009.
- Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
- Mika Meitz & Pentti Saikkonen, 2008.
"Stability of nonlinear AR‐GARCH models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 453-475, May.
- MEITZ, Mika & SAIKKONEN, Pentti, 2006. "Stability of nonlinear AR-GARCH models," LIDAM Discussion Papers CORE 2006078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mika Meitz & Pentti Saikkonen & University of Helsinki, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics.
- Meitz, Mika & Saikkonen, Pentti, 2006. "Stability of nonlinear AR-GARCH models," SSE/EFI Working Paper Series in Economics and Finance 632, Stockholm School of Economics.
- Martins-Filho, Carlos & Yao, Feng & Torero, Maximo, 2018.
"Nonparametric Estimation Of Conditional Value-At-Risk And Expected Shortfall Based On Extreme Value Theory,"
Econometric Theory, Cambridge University Press, vol. 34(1), pages 23-67, February.
- Carlos Martins-Filho & Feng Yao & Maximo Torero, 2012. "Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory," Working Papers 13-05, Department of Economics, West Virginia University.
- Hunjra, Ahmed Imran & Azam, Muhammad & Niazi, Ghulam Shabbir Khan & Butt, Babar Zaheer & Rehman, Kashif-Ur- & Azam, Rauf i, 2010. "Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets," MPRA Paper 40662, University Library of Munich, Germany.
- Muhammad Imtiaz Subhani & Syed Akif Hasan & Rabia Mohammad Ayub Moten & Amber Osman, 2011. "An Application of GARCH while investigating volatility in stock returns of the World," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 5(2), pages 49-59, Fall.
- Rolf Tschernig & Lijian Yang, 2000.
"Nonparametric Estimation of Generalized Impulse Response Functions,"
Econometric Society World Congress 2000 Contributed Papers
1417, Econometric Society.
- Tschernig, Rolf & Yang, Lijian, 2000. "Nonparametric estimation of generalized impulse response function," SFB 373 Discussion Papers 2000,89, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Chin-Tsai Lin & Yi-Hsien Wang, 2005. "An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 169-183, May.
- Sheriffdeen A. Tella & Olumuyiwa G. Yinusa & Ayinde Taofeek Olusola & Saban Celik, 2011. "Global Economic Crisis And Stock Markets Efficiency: Evidence From Selected Africa Countries," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 25(1), pages 139-169.
- Tzu-Yi Yang & Yu-Tai Yang, 2015. "A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 361-383, June.
More about this item
Keywords
Autoregression Conditional heteroscedasticity L1 geometric ergodicity Markov chain Multivariate AR-ARCH (CHARN) model;JEL classification:
- L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:51:y:2001:i:2:p:121-130. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.