Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
Author
Abstract
Suggested Citation
DOI: 10.1080/07350015.2015.1064433
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
- Li, Dong & Ling, Shiqing, 2012. "On the least squares estimation of multiple-regime threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 167(1), pages 240-253.
- Zhu, Ke, 2012. "A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach," MPRA Paper 40382, University Library of Munich, Germany.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Heung Wong & Shiqing Ling, 2005. "Mixed Portmanteau Tests for Time‐Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 569-579, July.
- Ngai Hang Chan & Liang Peng, 2005. "Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors," Biometrika, Biometrika Trust, vol. 92(2), pages 477-484, June.
- Shiqing Ling & W. K. Li, 1997. "Diagnostic checking of nonlinear multivariate time series with multivariate arch errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(5), pages 447-464, September.
- Guodong Li & Wai Keung Li, 2005. "Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach," Biometrika, Biometrika Trust, vol. 92(3), pages 691-701, September.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Zhang, Xingfa & Zhang, Rongmao & Li, Yuan & Ling, Shiqing, 2022. "LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise," Journal of Econometrics, Elsevier, vol. 227(1), pages 228-240.
- Li, Dong & Tao, Yuxin & Yang, Yaxing & Zhang, Rongmao, 2023. "Maximum likelihood estimation for α-stable double autoregressive models," Journal of Econometrics, Elsevier, vol. 236(1).
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.- Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
- Kwan, Wilson & Li, Wai Keung & Li, Guodong, 2012. "On the estimation and diagnostic checking of the ARFIMA–HYGARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3632-3644.
- Dong Li & Shiqing Ling & Rongmao Zhang, 2016. "On a Threshold Double Autoregressive Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 68-80, January.
- Chen, Min & Zhu, Ke, 2015. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," Journal of Econometrics, Elsevier, vol. 189(2), pages 313-320.
- Massimiliano Caporin & Michael McAleer, 2011.
"Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
- Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Research Papers EI 2010-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/32, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CIRJE F-Series CIRJE-F-740, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2009. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Documentos de Trabajo del ICAE 2009-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series CARF-F-217, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," KIER Working Papers 741, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/73, University of Canterbury, Department of Economics and Finance.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ben, Youhong & Jiang, Feiyu, 2020. "A note on Portmanteau tests for conditional heteroscedastistic models," Economics Letters, Elsevier, vol. 192(C).
- Duchesne, Pierre, 2004. "On matricial measures of dependence in vector ARCH models with applications to diagnostic checking," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 149-160, June.
- Guo, Shaojun & Li, Dong & Li, Muyi, 2019. "Strict stationarity testing and GLAD estimation of double autoregressive models," Journal of Econometrics, Elsevier, vol. 211(2), pages 319-337.
- Lan-Fen Chu & Michael McAleer & Chi-Chung Chen, 2012.
"How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?,"
Journal of Reviews on Global Economics, Lifescience Global, vol. 1, pages 1-12.
- Lan-Fen Chu & M. McAleer & Chi-Chung Chen, 2012. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," KIER Working Papers 829, Kyoto University, Institute of Economic Research.
- Lan-Fen Chu & Michael McAleer & Chi-Chung Chen, 2012. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Documentos de Trabajo del ICAE 2012-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Sep 2012.
- Lau-Fen Chu & Michael McAleer & Chi-Chung Chen, 2012. "How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy?," Working Papers in Economics 12/15, University of Canterbury, Department of Economics and Finance.
- Chu, L. & McAleer, M.J. & Chen, C-C., 2012. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Econometric Institute Research Papers EI 2012-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chu, L-F. & McAleer, M.J. & Chen, C-C., 2012. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Econometric Institute Research Papers EI 2012-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Lan-Fen Chu & Michael McAleer & Chi-Chung Chen, 2013. "How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?," Tinbergen Institute Discussion Papers 13-007/III, Tinbergen Institute.
- Wang, Xuqin & Li, Muyi, 2023. "Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 184(C).
- Ho, Kin-Yip & Tsui, Albert K. & Zhang, Zhaoyong, 2009.
"Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2856-2868.
- Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
- Y. K. Tse, 2002. "Residual-based diagnostics for conditional heteroscedasticity models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 358-374, June.
- Li, Muyi & Li, Wai Keung & Li, Guodong, 2015. "A new hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 189(2), pages 428-436.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
2018-14, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
- Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.
- Ke Zhu, 2016.
"Bootstrapping the portmanteau tests in weak auto-regressive moving average models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 463-485, March.
- Zhu, Ke, 2015. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," MPRA Paper 61930, University Library of Munich, Germany.
- Arthur Charpentier, 2015. "Prévision avec des copules en finance," Working Papers hal-01151233, HAL.
- Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
- Ke Zhu & Shiqing Ling, 2015.
"LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(510), pages 784-794, June.
- Zhu, Ke & Ling, Shiqing, 2014. "LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises," MPRA Paper 59099, University Library of Munich, Germany.
Corrections
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:taf:jnlbes:v:35:y:2017:i:2:p:318-333. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/UBES20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.