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Shiqing Ling

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE 2015-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & María de la Cruz Del Río-Rama & José Álvarez-García, 2022. "Using Markov-Switching Models in US Stocks Optimal Portfolio Selection in a Black–Litterman Context (Part 1)," Mathematics, MDPI, vol. 10(8), pages 1-28, April.

  2. Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.

    Cited by:

    1. Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
    2. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    3. Zhu, Ke, 2015. "Hausman tests for the error distribution in conditionally heteroskedastic models," MPRA Paper 66991, University Library of Munich, Germany.
    4. Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2022. "Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies," Working Papers 202258, University of Pretoria, Department of Economics.
    5. Donghang Luo & Ke Zhu & Huan Gong & Dong Li, 2020. "Testing error distribution by kernelized Stein discrepancy in multivariate time series models," Papers 2008.00747, arXiv.org.
    6. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  3. 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.

    Cited by:

    1. Guo, Shaojun & Li, Dong & Li, Muyi, 2018. "Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models," IRTG 1792 Discussion Papers 2018-049, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  4. Shiqing Ling & Michael McAleer, 2009. "A General Asymptotic Theory for Time Series Models," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo.

    Cited by:

    1. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
    2. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
    3. 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.
    4. Poloni, Federico & Sbrana, Giacomo, 2015. "A note on forecasting demand using the multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 162(C), pages 143-150.
    5. Poloni, Federico & Sbrana, Giacomo, 2019. "Closed-form results for vector moving average models with a univariate estimation approach," Econometrics and Statistics, Elsevier, vol. 10(C), pages 27-52.
    6. Christian Francq & Jean-Michel Zakoïan, 2013. "Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 412-425, October.
    7. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
    8. Song, Junmo & Oh, Dong-hyun & Kang, Jiwon, 2017. "Robust estimation in stochastic frontier models," Computational Statistics & Data Analysis, Elsevier, vol. 105(C), pages 243-267.
    9. Mawuli Segnon, 2022. "Strict stationarity of Poisson integer-valued ARCH processes of order infinity," CQE Working Papers 10222, Center for Quantitative Economics (CQE), University of Muenster.

  5. Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," CIRJE F-Series CIRJE-F-207, CIRJE, Faculty of Economics, University of Tokyo.

    Cited by:

    1. Lucchetti, Riccardo & Palomba, Giulio, 2009. "Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity," Economic Modelling, Elsevier, vol. 26(3), pages 659-667, May.
    2. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    3. Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 40-53.
    4. Nikolaos Kourogenis & Nikitas Pittis, 2008. "Testing for a unit root under errors with just barely infinite variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1066-1087, November.
    5. Riccardo LUCCHETTI & Giulio PALOMBA, 2006. "Forecasting US bond yields at weekly frequency," Working Papers 261, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    6. Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos, 2015. "On the Transmission of Memory in Garch-in-Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 706-720, September.
    7. Strohsal, Till & Weber, Enzo, 2011. "Mean-variance cointegration and the expectations hypothesis," SFB 649 Discussion Papers 2011-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Canepa, Alessandra, 2024. "Inflation dynamics and persistence: The importance of the uncertainty channel," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    9. Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
    10. Matei Demetrescu, 2010. "On the Dickey–Fuller test with White standard errors," Statistical Papers, Springer, vol. 51(1), pages 11-25, January.
    11. Iman Cheratian & Saleh Goltabar & Luis A. Gil-Alaña, 2023. "The unemployment hysteresis by territory, gender, and age groups in Iran," SN Business & Economics, Springer, vol. 3(2), pages 1-18, February.
    12. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    13. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
    14. Ploberger, Werner & Phillips, Peter C.B., 2012. "Optimal estimation under nonstandard conditions," Journal of Econometrics, Elsevier, vol. 169(2), pages 258-265.
    15. Nikolay Gospodinov & Ye Tao, 2009. "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Working Papers 09001, Concordia University, Department of Economics.
    16. Canepa, Alessandra, 2022. "Ination Dynamics and Time-Varying Persistence: The Importance of the Uncertainty Channel," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202211, University of Turin.
    17. Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    18. Yaya, OlaOluwa S & Akinlana, Damola M & Ogbonna, Ahamuefula E, 2017. "Investigating Structural break-GARCH-based Unit root test in US exchange rates," MPRA Paper 88768, University Library of Munich, Germany.
    19. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany.
    20. Salisu, Afees A. & Adeleke, Adegoke I., 2016. "Further application of Narayan and Liu (2015) unit root model for trending time series," Economic Modelling, Elsevier, vol. 55(C), pages 305-314.
    21. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
    22. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
    23. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 Australasian Meetings 92, Econometric Society.
    24. Yaya, OlaOluwa S, 2017. "Another Look at the Stationarity of Inflation rates in OECD countries: Application of Structural break-GARCH-based unit root tests," MPRA Paper 88769, University Library of Munich, Germany.
    25. Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
    26. Wang, Gaowen, 2006. "A note on unit root tests with heavy-tailed GARCH errors," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1075-1079, May.
    27. Gospodinov, Nikolay, 2008. "Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root," Journal of Econometrics, Elsevier, vol. 146(1), pages 146-161, September.
    28. Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).
    29. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
    30. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings 476, Econometric Society.
    31. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    32. Par Sjolander, 2010. "A stationary unbiased finite sample ARCH-LM test procedure," Applied Economics, Taylor & Francis Journals, vol. 43(8), pages 1019-1033.
    33. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR Model: Wavelet Improvement under GARCH Distortion," CAFO Working Papers 2009:6, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    34. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.

  6. Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University.

    Cited by:

    1. Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019. "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers 201977, University of Pretoria, Department of Economics.
    2. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    3. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Chia-Lin Chang & Michael McAleer & Christine Lim, 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE 2011-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Chang, Chia-Lin & Huang, Biing-Wen & Chen, Meng-Gu & McAleer, Michael, 2011. "Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1491-1506.
    6. Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
    7. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    8. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
    9. Chen, P-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Econometric Institute Research Papers EI 2010-56, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
    11. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.
    12. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    13. Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19.
    14. Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016. "Variance Targeting Estimation of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 353-382.
    15. Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024. "A new GARCH model with a deterministic time-varying intercept," Papers 2410.03239, arXiv.org, revised Oct 2024.
    16. Shao, Xiaofeng, 2011. "A bootstrap-assisted spectral test of white noise under unknown dependence," Journal of Econometrics, Elsevier, vol. 162(2), pages 213-224, June.
    17. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3076-3088.
    18. Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Research Papers EI 2012-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    19. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    20. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
    21. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259225, HAL.
    22. Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    23. LanFen Chu & Chi-Chung Chen & Michael McAleer, 2010. "How Volatile is ENSO?," Working Papers in Economics 10/31, University of Canterbury, Department of Economics and Finance.
    24. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 155-171.
    25. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
    26. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
    27. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
    28. Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.
    29. Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
    30. Watkins, Clinton & McAleer, Michael, 2005. "Related commodity markets and conditional correlations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 567-579.
    31. Charles, Amélie & Darné, Olivier, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, Elsevier, vol. 157(C), pages 179-202.
    32. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
    33. 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.
    34. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.
    35. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    36. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo.
    37. Carol Alexander & Emese Lazar & Silvia Stanescu, 2010. "Analytic Moments for GARCH Processes," ICMA Centre Discussion Papers in Finance icma-dp2011-07, Henley Business School, University of Reading, revised Apr 2011.
    38. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
    39. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    40. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
    41. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
    42. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    43. Lee, O. & Shin, D. W., 2004. "Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility," Economics Letters, Elsevier, vol. 84(2), pages 167-173, August.
    44. 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.
    45. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    46. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany.
    47. Chia-Lin Chang & Michael McAleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," CIRJE F-Series CIRJE-F-691, CIRJE, Faculty of Economics, University of Tokyo.
    48. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
    49. Christian Francq & Jean-Michel Zakoïan, 2008. "Barlett’s Formula for Non Linear Processes," Working Papers 2008-05, Center for Research in Economics and Statistics.
    50. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
    51. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    52. Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
    53. Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Energy: Resources and Markets 208768, Fondazione Eni Enrico Mattei (FEEM).
    54. Bauer, Dietmar, 2008. "Using Subspace Methods For Estimating Arma Models For Multivariate Time Series With Conditionally Heteroskedastic Innovations," Econometric Theory, Cambridge University Press, vol. 24(4), pages 1063-1092, August.
    55. Wan, Xiaoli & Yan, Yuruo & Zeng, Zhixiong, 2020. "Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    56. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
    57. Stavros Stavroyiannis, 2017. "A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?," Papers 1705.00535, arXiv.org.
    58. Chia-Lin Chang & Michael Mcaleer, 2012. "Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, September.
    59. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
    60. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
    61. Shareef, Riaz & McAleer, Michael, 2008. "Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 459-468.
    62. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
    63. Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
    64. Caporale, Guglielmo Maria & Ntantamis, Christos & Pantelidis, Theologos & Pittis, Nikitas, 2004. "The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study," Economics Series 156, Institute for Advanced Studies.
    65. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 585-592.
    66. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
    67. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Volatility in Global Fertilizer Prices," KIER Working Papers 705, Kyoto University, Institute of Economic Research.
    68. Divino, Jose Angelo & McAleer, Michael, 2010. "Modelling and forecasting daily international mass tourism to Peru," Tourism Management, Elsevier, vol. 31(6), pages 846-854.
    69. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, January.
    70. Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.
    71. Asai, M. & McAleer, M.J., 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Econometric Institute Research Papers EI2016-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    72. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
    73. Abdeljalil Settar & Nadia Idrissi Fatmi & Mohammed Badaoui, 2021. "New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(1), pages 55-74, March.
    74. 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.
    75. Feng, Yuanhua & Beran, Jan & Yu, Keming, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Papers 07/14, University of Konstanz, Center of Finance and Econometrics (CoFE).
    76. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    77. Aknouche, Abdelhakim & Bentarzi, Mohamed, 2008. "On the existence of higher-order moments of periodic GARCH models," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3262-3268, December.
    78. Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
    79. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
    80. Peter A. Zadrozny, 2005. "Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process," CESifo Working Paper Series 1505, CESifo.
    81. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
    82. Pedersen, Rasmus Søndergaard, 2017. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Journal of Econometrics, Elsevier, vol. 196(1), pages 23-36.
    83. Bartolomé, Ana & McAleer, Michael & Ramos, Vicente & Rey-Maquieira, Javier, 2009. "A risk map of international tourist regions in Spain," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2741-2758.
    84. Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," Documentos de Trabajo del ICAE 2009-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    85. Ng, Hock Guan & McAleer, Michael, 2004. "Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations," International Journal of Forecasting, Elsevier, vol. 20(1), pages 115-129.
    86. Hoti, Suhejla & McAleer, Michael & Pauwels, Laurent L., 2008. "Multivariate volatility in environmental finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 189-199.
    87. Francq, Christian & Zakoian, Jean-Michel, 2009. "Bartlett's formula for a general class of non linear processes," MPRA Paper 13224, University Library of Munich, Germany.
    88. Chang, C-L. & Huang, B-W. & Chen, M-G., 2010. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan," Econometric Institute Research Papers EI 2010-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    89. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Modelling the asymmetric volatility of anti-pollution patents in the USA," Scientometrics, Springer;Akadémiai Kiadó, vol. 59(2), pages 179-197, February.
    90. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    91. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
    92. Asai, Manabu & McAleer, Michael & de Veiga, Bernardo, 2008. "Portfolio single index (PSI) multivariate conditional and stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 209-214.
    93. Chia-Lin Chang & Michael McAleer & Christine Lim, 2009. "Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan," CIRJE F-Series CIRJE-F-647, CIRJE, Faculty of Economics, University of Tokyo.
    94. Biao Wu, Wei & Min, Wanli, 2005. "On linear processes with dependent innovations," Stochastic Processes and their Applications, Elsevier, vol. 115(6), pages 939-958, June.
    95. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
    96. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
    97. Yang, Yung-Lieh & Chang, Chia-Lin, 2008. "A double-threshold GARCH model of stock market and currency shocks on stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 458-474.
    98. Stelios Arvanitis & Antonis Demos, 2004. "Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 1-25, January.
    99. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
    100. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    101. Feng, Yuanhua & Härdle, Wolfgang Karl, 2020. "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers 2020-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    102. Dora Marinova & Michael McAleer, 2002. "Trends and volatility in Japanese patenting in the USA: An analysis of the electronics and transport industries," Scientometrics, Springer;Akadémiai Kiadó, vol. 55(2), pages 171-187, August.
    103. Thai Hung, Ngo & Nguyen, Linh Thi My & Vinh Vo, Xuan, 2022. "Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    104. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
    105. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
    106. Lee, O. & Shin, D.W., 2005. "On stationarity and [beta]-mixing property of certain nonlinear GARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 25-35, June.
    107. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    108. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
    109. Watkins, Clinton & McAleer, Michael, 2008. "How has volatility in metals markets changed?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 237-249.
    110. Francq, Christian & ZakoI¨an, Jean-Michel, 2005. "The L2-structures of standard and switching-regime GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1557-1582, September.
    111. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
    112. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
    113. Hoti, Suhejla, 2005. "Comparative analysis of risk ratings for the East European region," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 449-462.
    114. Brent Hudson & Richard Gerlach, 2008. "A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 606-627, November.
    115. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    116. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," IHEID Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies.
    117. Junru Zhang & Hadrian Geri Djajadikerta & Zhaoyong Zhang, 2018. "Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market," Sustainability, MDPI, vol. 10(10), pages 1-21, September.
    118. Feng, Yuanhua & McNeil, Alexander J., 2008. "Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility," Economic Modelling, Elsevier, vol. 25(5), pages 850-867, September.
    119. Chopra, Parvesh K. & Kanji, Gopal K., 2010. "On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(4), pages 479-515.
    120. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
    121. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Cruising is Risky Business," CIRJE F-Series CIRJE-F-664, CIRJE, Faculty of Economics, University of Tokyo.
    122. Shi, Yujie, 2022. "What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    123. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    124. Hoti, Suhejla & McAleer, Michael & Chan, Felix, 2005. "Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 69(1), pages 46-56.
    125. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
    126. Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.

  7. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.

    Cited by:

    1. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    2. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Chia-Lin Chang & Michael McAleer & Christine Lim, 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE 2011-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Chang, Chia-Lin & Huang, Biing-Wen & Chen, Meng-Gu & McAleer, Michael, 2011. "Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1491-1506.
    5. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    6. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
    7. Chen, P-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Econometric Institute Research Papers EI 2010-56, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
    9. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    10. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
    11. Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    12. LanFen Chu & Chi-Chung Chen & Michael McAleer, 2010. "How Volatile is ENSO?," Working Papers in Economics 10/31, University of Canterbury, Department of Economics and Finance.
    13. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
    14. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
    15. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.
    16. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    17. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
    18. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
    19. Asai, M. & Caporin, M. & McAleer, M.J., 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2012-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    20. 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.
    21. Chia-Lin Chang & Michael McAleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," CIRJE F-Series CIRJE-F-691, CIRJE, Faculty of Economics, University of Tokyo.
    22. Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.
    23. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
    24. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    25. Chia-Lin Chang & Michael Mcaleer, 2012. "Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, September.
    26. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain," CIRJE F-Series CIRJE-F-665, CIRJE, Faculty of Economics, University of Tokyo.
    27. Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
    28. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    29. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Volatility in Global Fertilizer Prices," KIER Working Papers 705, Kyoto University, Institute of Economic Research.
    30. Divino, Jose Angelo & McAleer, Michael, 2010. "Modelling and forecasting daily international mass tourism to Peru," Tourism Management, Elsevier, vol. 31(6), pages 846-854.
    31. Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.
    32. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
    33. Ploberger, Werner & Phillips, Peter C.B., 2012. "Optimal estimation under nonstandard conditions," Journal of Econometrics, Elsevier, vol. 169(2), pages 258-265.
    34. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    35. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
    36. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
    37. Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," Documentos de Trabajo del ICAE 2009-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    38. Chang, C-L. & Huang, B-W. & Chen, M-G., 2010. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan," Econometric Institute Research Papers EI 2010-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    39. Chia-Lin Chang & Michael McAleer & Christine Lim, 2009. "Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan," CIRJE F-Series CIRJE-F-647, CIRJE, Faculty of Economics, University of Tokyo.
    40. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
    41. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 Australasian Meetings 92, Econometric Society.
    42. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
    43. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings 476, Econometric Society.
    44. Werker, Bas J M & Andreou, Elena, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
    45. Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
    46. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Cruising is Risky Business," CIRJE F-Series CIRJE-F-664, CIRJE, Faculty of Economics, University of Tokyo.

  8. Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
    2. Yaya, OlaOluwa & Ogbonna, Ahamuefula, 2018. "Modelling crude oil-petroleum products’ price nexus using dynamic conditional correlation GARCH models," MPRA Paper 91227, University Library of Munich, Germany.
    3. Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
    4. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    5. Markus Haas, 2018. "A note on the absolute moments of the bivariate normal distribution," Economics Bulletin, AccessEcon, vol. 38(1), pages 650-656.
    6. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
    7. Nagapetyan, Artur, 2019. "Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 45-61.
    8. Rasmus Søndergaard Pedersen, 2014. "Targeting estimation of CCC-Garch models with infinite fourth moments," Discussion Papers 14-04, University of Copenhagen. Department of Economics.
    9. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.
    11. Chang, Chia-Lin & Hsu, Hui-Kuang, 2013. "Modelling Volatility Size Effects for Firm Performance: The Impact of Chinese Tourists to Taiwan," MPRA Paper 45691, University Library of Munich, Germany.
    12. Chia-Lin Chang & Michael McAleer & Christine Lim, 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE 2011-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    13. Chia-Lin Chang & Michael McAleer, 2016. "A Simple Test for Causality in Volatility," Tinbergen Institute Discussion Papers 16-094/III, Tinbergen Institute.
    14. Chen, Min & Zhu, Ke, 2013. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," MPRA Paper 50487, University Library of Munich, Germany.
    15. 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.
    16. Chang, Chia-Lin & Huang, Biing-Wen & Chen, Meng-Gu & McAleer, Michael, 2011. "Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1491-1506.
    17. Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Documentos de Trabajo del ICAE 2017-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    18. Benjamin Poignard & Jean-David Fermanian, 2016. "Vine-GARCH process: Stationarity and Asymptotic Properties," Working Papers 2016-03, Center for Research in Economics and Statistics.
    19. Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
    20. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An Event Study Analysis of Political Events, Disasters, and Accidents for Chinese Tourists to Taiwan," Sustainability, MDPI, vol. 10(11), pages 1-77, November.
    21. Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael, 2009. "Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 829-842, August.
    22. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    23. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
    24. A Ciarreta and A Zarraga, 2015. "Analysis of mean and volatility price transmissions in the MIBEL and EPEX electricity spot markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    25. Chia-Lin Chang & Michael McAleer & Dan Slottje, 2009. "Modelling International Tourist Arrivals and Volatility: An Application to Taiwan," "Marco Fanno" Working Papers 0097, Dipartimento di Scienze Economiche "Marco Fanno".
    26. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
    27. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    28. Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers 15-077/III, Tinbergen Institute.
    29. Chen, P-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Econometric Institute Research Papers EI 2010-56, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    30. Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
    31. Constantin ANGHELACHE & Janusz GRABARA & Alexandru MANOLE, 2016. "Using the Dynamic Model ARMA to Forecast the Macroeconomic Evolution," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 3-13, January.
    32. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics 10/19, University of Canterbury, Department of Economics and Finance.
    33. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    34. Lin, Boqiang & Chen, Yufang, 2019. "Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China," Energy, Elsevier, vol. 172(C), pages 1198-1210.
    35. Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2009. "Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies," CIRJE F-Series CIRJE-F-668, CIRJE, Faculty of Economics, University of Tokyo.
    36. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.
    37. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Worldwide Evidences in the Relationships between Agriculture, Energy and Water Sectors," 2014 International European Forum, February 17-21, 2014, Innsbruck-Igls, Austria 199346, International European Forum on System Dynamics and Innovation in Food Networks.
    38. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    39. Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19.
    40. Tiberiu Cristian Avramescu, 2008. "Romanian Tourism: A Regional Approach," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    41. Asma Abdallah & Ahmed Ghorbela, 2018. "Hedging Oil Prices with Renewable Energy Indices A Comparison between Various Multivariate Garch Versions," Biostatistics and Biometrics Open Access Journal, Juniper Publishers Inc., vol. 6(3), pages 74-86, April.
    42. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2022. "Spillovers and diversification benefits between oil futures and ASEAN stock markets," Resources Policy, Elsevier, vol. 79(C).
    43. Nikolaos Antonakakis & Juncal Cunado & George Filis & David Gabauer & Fernando Perez de Gracia, 2018. "Oil volatility, oil and gas firms and portfolio diversification," BAFES Working Papers BAFES18, Department of Accounting, Finance & Economic, Bournemouth University.
    44. Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2020. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management," JRFM, MDPI, vol. 13(10), pages 1-28, September.
    45. Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    46. Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, Department of Economics and Business Economics, Aarhus University.
    47. Saif Siddiqui & Preeti Roy, 2019. "Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(6), pages 1597-1611.
    48. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3076-3088.
    49. Morema, Kgotso & Bonga-Bonga, Lumengo, 2020. "The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications," Resources Policy, Elsevier, vol. 68(C).
    50. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
    51. Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de Economía.
    52. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    53. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
    54. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
    55. Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org, revised Jul 2020.
    56. Carnero, María Ángeles, 2004. "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS ws042007, Universidad Carlos III de Madrid. Departamento de Estadística.
    57. Khairulla Massadikov, 2021. "Volatility Spillovers between Oil Prices and Stock Returns in Developing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 121-126.
    58. Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    59. LanFen Chu & Chi-Chung Chen & Michael McAleer, 2010. "How Volatile is ENSO?," Working Papers in Economics 10/31, University of Canterbury, Department of Economics and Finance.
    60. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 155-171.
    61. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
    62. Junttila, Juha & Pesonen, Juho & Raatikainen, Juhani, 2018. "Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 255-280.
    63. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
    64. Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CARF F-Series CARF-F-187, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    65. Simon Hetland, 2020. "Spectral Targeting Estimation of $\lambda$-GARCH models," Papers 2007.02588, arXiv.org.
    66. Cristina Silvia Nistor & Crina Ioana Filip & Adela Deaconu, 2008. "Derivative Instruments – Alternatives To Cover The Foreign Exchange Rate In The Case Of Import-Export Operations - Accounting Approach For Romania," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    67. Sugra Humbatova & Afag Huseyn & Natig Gadim-Oglu Hajiyev, 2023. "Impact of Oil Factor on Investment: The Case of Azerbaijan," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 129-148, March.
    68. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-031/III, Tinbergen Institute.
    69. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
    70. Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
    71. Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019. "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, vol. 12(8), pages 1-24, April.
    72. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.
    73. McAleer, Michael & Hafner, Christian, 2014. "A One Line Derivation of EGARCH," LIDAM Reprints ISBA 2014030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    74. Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CIRJE F-Series CIRJE-F-675, CIRJE, Faculty of Economics, University of Tokyo.
    75. Allen, D.E. & McAleer, M.J. & Amram, R., 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Econometric Institute Research Papers EI 2011-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    76. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
    77. 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.
    78. 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.
    79. Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 12/06, University of Canterbury, Department of Economics and Finance.
    80. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.
    81. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010. "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 10/24, University of Canterbury, Department of Economics and Finance.
    82. Mai, Te-Ke & Foley, Aoife M. & McAleer, Michael & Chang, Chia-Lin, 2022. "Impact of COVID-19 on returns-volatility spillovers in national and regional carbon markets in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 169(C).
    83. Ngene, Geoffrey M. & Lee Kim, Yea & Wang, Jinghua, 2019. "Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets," Economic Modelling, Elsevier, vol. 81(C), pages 136-147.
    84. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    85. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo.
    86. Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," CIRJE F-Series CIRJE-F-741, CIRJE, Faculty of Economics, University of Tokyo.
    87. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
    88. M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    89. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
    90. Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers 15-10, Eastern Mediterranean University, Department of Economics.
    91. Tule, Moses K. & Ndako, Umar B. & Onipede, Samuel F., 2017. "Oil price shocks and volatility spillovers in the Nigerian sovereign bond market," Review of Financial Economics, Elsevier, vol. 35(C), pages 57-65.
    92. Agya Atabani Adi & Samuel Paabu Adda & Amadi Kingsley Wobilor, 2022. "Shocks and volatility transmission between oil price and Nigeria’s exchange rate," SN Business & Economics, Springer, vol. 2(6), pages 1-17, June.
    93. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
    94. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Documentos de Trabajo del ICAE 2013-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    95. Yiu Kuen Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometric Society World Congress 2000 Contributed Papers 0250, Econometric Society.
    96. Abdul Hakim & Michael McAleer, 2009. "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CARF F-Series CARF-F-178, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    97. Huang, Shian-Chang, 2011. "Wavelet-based multi-resolution GARCH model for financial spillover effects," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2529-2539.
    98. Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).
    99. Dutta, Anupam, 2018. "A note on the implied volatility spillovers between gold and silver markets," Resources Policy, Elsevier, vol. 55(C), pages 192-195.
    100. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    101. Hakim, Abdul & McAleer, Michael, 2009. "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2830-2846.
    102. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    103. Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
    104. Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics 10/03, University of Canterbury, Department of Economics and Finance.
    105. Arfaoui, Mongi & Ben Rejeb, Aymen, 2015. "Return dynamics and volatility spillovers between FOREX and MENA stock markets: what to remember for portfolio choice?," MPRA Paper 61520, University Library of Munich, Germany.
    106. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    107. 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.
    108. Chia-Lin Chang & Thanchanok Khamkaew & Roengchai Tansuchat & Michael McAleer, 2011. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Tourism Economics, , vol. 17(3), pages 481-507, June.
    109. Francq, Christian & Zakoian, Jean-Michel, 2010. "QML estimation of a class of multivariate GARCH models without moment conditions on the observed process," MPRA Paper 20779, University Library of Munich, Germany.
    110. Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    111. Yousaf, Imran & Arfaoui, Nadia & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases," Research in International Business and Finance, Elsevier, vol. 69(C).
    112. Chia-Lin Chang & Michael McAleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," CIRJE F-Series CIRJE-F-691, CIRJE, Faculty of Economics, University of Tokyo.
    113. Kumar, Satish & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2019. "Correlations and volatility spillovers between oil, natural gas, and stock prices in India," Resources Policy, Elsevier, vol. 62(C), pages 282-291.
    114. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Yoon, Seong-Min, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 225-243.
    115. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
    116. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    117. Muhammad Irfan Malik & Abdul Rashid, 2017. "Return And Volatility Spillover Between Sectoral Stock And Oil Price: Evidence From Pakistan Stock Exchange," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-22, June.
    118. Maghyereh, Aktham I. & Awartani, Basel & Abdoh, Hussein, 2019. "The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations," Energy, Elsevier, vol. 169(C), pages 895-913.
    119. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An event study of chinese tourists to Taiwan," Documentos de Trabajo del ICAE 2018-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    120. HAFNER Christian, & HERWARTZ Helmut, & MAXAND Simone,, 2018. "Identification of structural multivariate GARCH models," LIDAM Discussion Papers CORE 2018020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    121. Zhu, Ke & Li, Wai Keung, 2015. "A bootstrapped spectral test for adequacy in weak ARMA models," Journal of Econometrics, Elsevier, vol. 187(1), pages 113-130.
    122. Robinson, Peter M. & Zaffaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH(∞) models," LSE Research Online Documents on Economics 58182, London School of Economics and Political Science, LSE Library.
    123. Eli Bouri & Andre Eid & Imad Kachacha, 2014. "The Dynamic Behaviour and Determinants of Linkages among Middle Eastern and North African Stock Exchanges," Economic Issues Journal Articles, Economic Issues, vol. 19(1), pages 1-22, March.
    124. Abdelhakim Aknouche & Abdelouahab Bibi, 2009. "Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 19-46, January.
    125. Chang, C-L. & McAleer, M.J., 2017. "The Fiction of Full BEKK," Econometric Institute Research Papers TI 2017-015/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    126. Salisu, Afees A. & Mobolaji, Hakeem, 2013. "Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate," Energy Economics, Elsevier, vol. 39(C), pages 169-176.
    127. Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
    128. Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
    129. Qi Deng & Zhong-guo Zhou, 2024. "Liquidity Jump, Liquidity Diffusion, and Portfolio of Assets with Extreme Liquidity," Papers 2407.00813, arXiv.org.
    130. Majdoub, Jihed & Ben Sassi, Salim, 2017. "Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes," Emerging Markets Review, Elsevier, vol. 31(C), pages 16-31.
    131. Feng, Huiqun & Zhang, Jun & Guo, Na, 2023. "Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors," International Review of Financial Analysis, Elsevier, vol. 89(C).
    132. Song, Junmo & Kang, Jiwon, 2018. "Parameter change tests for ARMA–GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 121(C), pages 41-56.
    133. Bouri, Elie & Awartani, Basel & Maghyereh, Aktham, 2016. "Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010," Energy Economics, Elsevier, vol. 56(C), pages 205-214.
    134. Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    135. Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590251, HAL.
    136. Tassos Magdalinos, 2018. "Least Squares and IVX Limit Theory in Systems of Predictive Regressions with GARCH innovations," Working Paper series 18-24, Rimini Centre for Economic Analysis.
    137. Chang, Chia-Lin & McAleer, Michael, 2019. "The fiction of full BEKK: Pricing fossil fuels and carbon emissions," Finance Research Letters, Elsevier, vol. 28(C), pages 11-19.
    138. Afees Adebare Salisu & Raymond Swaray & Tirimisiyu Oloko, 2017. "US stocks in the presence of oil price risk: Large cap vs. Small cap," Economics and Business Letters, Oviedo University Press, vol. 6(4), pages 116-124.
    139. Bauer, Dietmar, 2008. "Using Subspace Methods For Estimating Arma Models For Multivariate Time Series With Conditionally Heteroskedastic Innovations," Econometric Theory, Cambridge University Press, vol. 24(4), pages 1063-1092, August.
    140. Thomas Chuffart & Emmanuel Flachaire & Anne Péguin-Feissolle, 2017. "Testing for misspecification in the short-run component of GARCH-type models," Post-Print hal-03157205, HAL.
    141. Arfaoui Mongi & Haj Ali Dhouha, 2016. "Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 252-270.
    142. Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers EI2016-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    143. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2014. "On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 26-40.
    144. Ciarreta Antuñano, Aitor & Zárraga Alonso, Ainhoa, 2012. "Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    145. Chia-Lin Chang & Michael Mcaleer, 2012. "Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, September.
    146. Anton Bekkerman, 2011. "Time‐varying hedge ratios in linked agricultural markets," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(2), pages 179-200, August.
    147. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CIRJE F-Series CIRJE-F-638, CIRJE, Faculty of Economics, University of Tokyo.
    148. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.
    149. M. Karanasos & S. Yfanti & A. Christopoulos, 2021. "The long memory HEAVY process: modeling and forecasting financial volatility," Annals of Operations Research, Springer, vol. 306(1), pages 111-130, November.
    150. Hafner, Christian M. & Preminger, Arie, 2009. "On asymptotic theory for multivariate GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2044-2054, October.
    151. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CARF F-Series CARF-F-163, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    152. Shareef, Riaz & McAleer, Michael, 2008. "Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 459-468.
    153. Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.
    154. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
    155. Hsu, Shu-Han & Sheu, Chwen & Yoon, Jiho, 2021. "Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    156. Sania Wadud & Robert D. Durand & Marc Gronwald, 2021. "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series 9202, CESifo.
    157. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain," CIRJE F-Series CIRJE-F-665, CIRJE, Faculty of Economics, University of Tokyo.
    158. Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
    159. El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
    160. Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
    161. Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers 2003.43, Fondazione Eni Enrico Mattei.
    162. Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
    163. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
    164. Tomasz Wozniak, 2015. "Granger-causal analysis of GARCH models: a Bayesian approach," Department of Economics - Working Papers Series 1194, The University of Melbourne.
    165. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 585-592.
    166. Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric, 2011. "A component model for dynamic correlations," Journal of Econometrics, Elsevier, vol. 164(1), pages 45-59, September.
    167. Hamadi, Hassan & Bassil, Charbel & Nehme, Tamara, 2017. "News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil," Research in International Business and Finance, Elsevier, vol. 41(C), pages 148-157.
    168. Chao Zhang & Xingyue Pu & Mihai Cucuringu & Xiaowen Dong, 2023. "Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects," Papers 2308.01419, arXiv.org.
    169. Tule, Moses & Dogo, Mela & Uzonwanne, Godfrey, 2018. "Volatility of stock market returns and the naira exchange rate," Global Finance Journal, Elsevier, vol. 35(C), pages 97-105.
    170. Amine Lahiani & Duc Khuong Nguyen & Thierry Vo, 2014. "Understanding return and volatility spillovers among major agricultural commodities," Working Papers 2014-243, Department of Research, Ipag Business School.
    171. Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    172. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
    173. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Volatility in Global Fertilizer Prices," KIER Working Papers 705, Kyoto University, Institute of Economic Research.
    174. Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019. "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
    175. Dutta, Anupam, 2018. "Implied volatility linkages between the U.S. and emerging equity markets: A note," Global Finance Journal, Elsevier, vol. 35(C), pages 138-146.
    176. Menelaos Karanasos, "undated". "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York.
    177. Menelaos Karanasos, "undated". "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York.
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    179. Faruk Urak & Abdulbaki Bilgic & Gürkan Bozma & Wojciech J. Florkowski & Erkan Efekan, 2022. "Volatility in Live Calf, Live Sheep, and Feed Wheat Return Markets: A Threat to Food Price Stability in Turkey," Agriculture, MDPI, vol. 12(4), pages 1-24, April.
    180. Hafner, C.M. & Herwartz, H., 2003. "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers EI 2003-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    181. Carlos Esparcia & Tarek Fakhfakh & Francisco Jareño & Achraf Ghorbel, 2024. "Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-26, December.
    182. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," "Marco Fanno" Working Papers 0124, Dipartimento di Scienze Economiche "Marco Fanno".
    183. Divino, Jose Angelo & McAleer, Michael, 2010. "Modelling and forecasting daily international mass tourism to Peru," Tourism Management, Elsevier, vol. 31(6), pages 846-854.
    184. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    185. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    186. Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2021. "Exploring shock and volatility transmission between oil and Chinese industrial raw materials," Resources Policy, Elsevier, vol. 70(C).
    187. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
    188. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
    189. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2020. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2020-01, University of Sydney Business School, Discipline of Business Analytics.
    190. Mohamed El Hedi Arouri & Amine Lahiani & Duc Khuong Nguyen, 2013. "World gold prices and stock returns in China: insights for hedging and diversification strategies," Working Papers hal-00798038, HAL.
    191. Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.
    192. Asai, M. & McAleer, M.J., 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Econometric Institute Research Papers EI2016-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    193. 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.
    194. Walid Ben Omrane & Christian M. Hafner, 2009. "Information Spillover, Volatility and the Currency Markets for the Binary Choice Model," International Econometric Review (IER), Econometric Research Association, vol. 1(1), pages 50-62, April.
    195. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
    196. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
    197. Rosella Giacometti & Gabriele Torri & Kamonchai Rujirarangsan & Michela Cameletti, 2023. "Spatial Multivariate GARCH Models and Financial Spillovers," JRFM, MDPI, vol. 16(9), pages 1-23, September.
    198. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
    199. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, January.
    200. Amrouk, El Mamoun & Grosche, Stephanie-Carolin & Heckelei, Thomas, 2017. "An analysis of the interdependence between cash crop and staple food futures prices," Discussion Papers 265665, University of Bonn, Institute for Food and Resource Economics.
    201. Fernandes, Marcelo & Medeiros, Marcelo C. & Veiga, Alvaro, 2013. "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão 343, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    202. Abdeljalil Settar & Nadia Idrissi Fatmi & Mohammed Badaoui, 2021. "New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(1), pages 55-74, March.
    203. 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.
    204. Khalfaoui, R & Boutahar, M, 2012. "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper 41624, University Library of Munich, Germany.
    205. Emma M. Iglesias & Garry D.A. Phillips, 2004. "Multivariate Arch Models: Finite Sample Properties Of Ml Estimators And An Application To An Lm-Type Test," Working Papers. Serie AD 2004-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    206. Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, Department of Economics and Business Economics, Aarhus University.
    207. Rafiqul Bhuyan & Mohammad Robbani & Bakhtear Talukder, 2021. "Oil Volatility Spillover into Oil Dependent Equity-Sector Stock Returns: Evidence from Major Oil Producing Countries," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 149-165.
    208. K. Diamantopoulos & I. Vrontos, 2010. "A Student-t Full Factor Multivariate GARCH Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 63-83, January.
    209. Jouini, Jamel, 2013. "Return and volatility interaction between oil prices and stock markets in Saudi Arabia," Journal of Policy Modeling, Elsevier, vol. 35(6), pages 1124-1144.
    210. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
    211. Qi Deng & Zhong-guo Zhou, 2023. "Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity," Papers 2306.15807, arXiv.org, revised Feb 2024.
    212. 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.
    213. Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016. "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE 2016-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    214. Partenie Dumbrava & Ioan Pop & Eniko Fazakas & Jozsef Fazakas & Ludovica Breban, 2008. "The Environmental Impact Of Beer Production," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    215. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
    216. Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers 08/08, Department of Economics, City University London.
    217. Cheng Yu & Dong Li & Feiyu Jiang & Ke Zhu, 2023. "Matrix GARCH Model: Inference and Application," Papers 2306.05169, arXiv.org.
    218. Pedro Pires Ribeiro & José Dias Curto, 2017. "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 105-136, February.
    219. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
    220. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    221. Iglesias Emma M, 2009. "Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
    222. Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
    223. Dey, Shubhasis & Sampath, Aravind, 2018. "Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies," Finance Research Letters, Elsevier, vol. 25(C), pages 41-46.
    224. Chen, Yufeng & Zheng, Biao & Qu, Fang, 2020. "Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach," Resources Policy, Elsevier, vol. 65(C).
    225. Mofleh Alshogeathri & Jamel Jouini, 2017. "Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 166-198, June.
    226. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    227. Dahl Christian M & Iglesias Emma, 2011. "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
    228. 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.
    229. Chan, Felix & Theoharakis, Billy, 2011. "Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1385-1396.
    230. Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2018. "The interactions between OPEC oil price and sectoral stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 631-641.
    231. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
    232. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
    233. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005.
    234. Felix Chan, 2013. "Advantages of Non-Normality in Testing Cointegration Rank," Bankwest Curtin Economics Centre Working Paper series WP1306, Bankwest Curtin Economics Centre (BCEC), Curtin Business School.
    235. Y. Liu & B. Wang & H. Zhan & Y. Fan & Y. Zha & Y. Hao, 2017. "Simulation of Nonstationary Spring Discharge Using Time Series Models," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 31(15), pages 4875-4890, December.
    236. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
    237. Salisu, Afees A. & Oloko, Tirimisiyu F., 2015. "Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach," Energy Economics, Elsevier, vol. 50(C), pages 1-12.
    238. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," SSE/EFI Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 04 May 2008.
    239. Syed Abul, Basher & Perry, Sadorsky, 2015. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," MPRA Paper 68231, University Library of Munich, Germany.
    240. Lv, Xiaodong & Shan, Xian, 2013. "Modeling natural gas market volatility using GARCH with different distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5685-5699.
    241. Michael McAleer & Massimiliano Caporin, 2011. "Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation," KIER Working Papers 778, Kyoto University, Institute of Economic Research.
    242. Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
    243. Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," Economic Modelling, Elsevier, vol. 32(C), pages 15-22.
    244. Massimiliano Caporin & Riccardo (Jack) Lucchetti & Giulio Palomba, 2020. "Analytical Gradients of Dynamic Conditional Correlation Models," JRFM, MDPI, vol. 13(3), pages 1-21, March.
    245. Arouri, Mohamed El Hedi & Lahiani, Amine & Nguyen, Duc Khuong, 2011. "Return and volatility transmission between world oil prices and stock markets of the GCC countries," Economic Modelling, Elsevier, vol. 28(4), pages 1815-1825, July.
    246. Pedersen, Rasmus Søndergaard, 2017. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Journal of Econometrics, Elsevier, vol. 196(1), pages 23-36.
    247. Lumengo Bonga-Bonga & Maphelane Palesa Phume, 2022. "Return and volatility spillovers between South African and Nigerian equity markets," African Journal of Economic and Management Studies, Emerald Group Publishing Limited, vol. 13(2), pages 205-218, January.
    248. Bartolomé, Ana & McAleer, Michael & Ramos, Vicente & Rey-Maquieira, Javier, 2009. "A risk map of international tourist regions in Spain," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2741-2758.
    249. Bouri, Elie, 2015. "Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods," Energy, Elsevier, vol. 89(C), pages 365-371.
    250. Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton, 2008. "Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks," Journal of Econometrics, Elsevier, vol. 147(1), pages 163-185, November.
    251. Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2521-2524.
    252. Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," Documentos de Trabajo del ICAE 2009-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    253. Marchese, Malvina & Kyriakou, Ioannis & Tamvakis, Michael & Di Iorio, Francesca, 2020. "Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models," Energy Economics, Elsevier, vol. 88(C).
    254. Park, Sung Y. & Bera, Anil K., 2009. "Maximum entropy autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 150(2), pages 219-230, June.
    255. Jiang, Yonghong & Lao, Jiashun & Mo, Bin & Nie, He, 2018. "Dynamic linkages among global oil market, agricultural raw material markets and metal markets: An application of wavelet and copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 265-279.
    256. Ng, Hock Guan & McAleer, Michael, 2004. "Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations," International Journal of Forecasting, Elsevier, vol. 20(1), pages 115-129.
    257. Hillebrand Eric & Medeiros Marcelo C. & Xu Junyue, 2013. "Asymptotic Theory for Regressions with Smoothly Changing Parameters," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 133-162, April.
    258. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry," Documentos de Trabajo del ICAE 2013-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
    259. Hoti, Suhejla & McAleer, Michael & Pauwels, Laurent L., 2008. "Multivariate volatility in environmental finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 189-199.
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    388. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(1), pages 83-103, March.
    389. Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.
    390. Chopra, Parvesh K. & Kanji, Gopal K., 2010. "On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(4), pages 479-515.
    391. Caner Özdurak & Veysel Ulusoy, 2020. "Spillovers from the Slowdown in China on Financial and Energy Markets: An Application of VAR–VECH–TARCH Models," IJFS, MDPI, vol. 8(3), pages 1-17, August.
    392. Busch, Thomas, 2005. "A robust LR test for the GARCH model," Economics Letters, Elsevier, vol. 88(3), pages 358-364, September.
    393. Adewuyi, Adeolu O. & Awodumi, Olabanji B. & Abodunde, Temitope T., 2019. "Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria," Resources Policy, Elsevier, vol. 61(C), pages 348-362.
    394. Muzammil KURSHID & Berna Kirkulak ULUDAG, 2017. "Shock And Volatility Spillovers Between Oil And Some Balkan Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 47-59, December.
    395. Balli, Faruk & Balli, Hatice Ozer & Luu, Mong Ngoc, 2014. "Diversification across ASEAN-wide sectoral and national equity returns," Economic Modelling, Elsevier, vol. 41(C), pages 398-407.
    396. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
    397. Salisu, Afees A. & Vo, Xuan Vinh & Lawal, Adedoyin, 2021. "Hedging oil price risk with gold during COVID-19 pandemic," Resources Policy, Elsevier, vol. 70(C).
    398. Robinson, Peter M. & Zafaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH models," LSE Research Online Documents on Economics 4544, London School of Economics and Political Science, LSE Library.
    399. Botshekan , Mohamad Hashem & Mohseni , Hosein, 2017. "Volatility Spillover among Industries in the Capital Market in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(2), pages 213-233, April.
    400. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Cruising is Risky Business," CIRJE F-Series CIRJE-F-664, CIRJE, Faculty of Economics, University of Tokyo.
    401. Yousaf, Imran & Hassan, Arshad, 2019. "Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash," Finance Research Letters, Elsevier, vol. 31(C).
    402. Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
    403. Dilip Kumar, 2014. "Correlations, Return and Volatility Spillovers in Indian Exchange Rates," Global Business Review, International Management Institute, vol. 15(1), pages 77-91, March.
    404. Wasel Shadat & Chris Orme, 2011. "An investigation of parametric tests of CCC assumption," Economics Discussion Paper Series 1109, Economics, The University of Manchester.
    405. Asai, Manabu & McAleer, Michael, 2009. "The structure of dynamic correlations in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 182-192, June.
    406. Uzonwanne, Godfrey, 2021. "Volatility and return spillovers between stock markets and cryptocurrencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 30-36.
    407. Adina Negrusa & Oana Adriana Gica, 2008. "Analysis Of Potential Sme’S Role For Developing Tourism In Transylvania," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    408. Hoti, Suhejla & McAleer, Michael & Chan, Felix, 2005. "Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 69(1), pages 46-56.
    409. Hwang, S.Y. & Basawa, I.V., 2011. "Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality," Journal of Multivariate Analysis, Elsevier, vol. 102(6), pages 1018-1031, July.
    410. Vo, Xuan Vinh & Ellis, Craig, 2018. "International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 19-27.
    411. Song, Feng & Cui, Jian & Yu, Yihua, 2022. "Dynamic volatility spillover effects between wind and solar power generations: Implications for hedging strategies and a sustainable power sector," Economic Modelling, Elsevier, vol. 116(C).
    412. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
    413. Arfaoui, Mongi & Chkili, Walid & Ben Rejeb, Aymen, 2022. "Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    414. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Working Papers 0597, University of Heidelberg, Department of Economics.
    415. Peri, M. & Vandone, D. & Baldi, L., 2015. "Volatility Spillover between Water, Food and Energy," 2015 Conference, August 9-14, 2015, Milan, Italy 212627, International Association of Agricultural Economists.
    416. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
    417. Hari Sharma Neupane & Chandra Lal Shrestha & Tara Prasad Upadhyaya, 2012. "Modelling Monthly International Tourist Arrivals and Its Risk in Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 24(1), pages 28-47, April.
    418. Fernández, Begoña & Muriel, Nelson, 2009. "Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1538-1550, August.
    419. Esta Lestari, 2010. "Volatility Spillover Effects in East Asian Capital Markets: A Case Study of the Real Estate Sectors," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 58, pages 57-82, April.
    420. Massimo Peri & Daniela Vandone & Lucia Baldi, 2017. "Volatility Spillover between Water, Energy and Food," Sustainability, MDPI, vol. 9(6), pages 1-16, June.
    421. Adrian Grosanu & Paula Ramona Rachisan, 2008. "The Implementation Of Profit Centres Inside An Economic Entity," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    422. Caner Ozdurak & Alican Umut & Tugba Ozay, 2022. "The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 480-490, March.

  9. Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.

    Cited by:

    1. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    2. Markus Haas, 2018. "A note on the absolute moments of the bivariate normal distribution," Economics Bulletin, AccessEcon, vol. 38(1), pages 650-656.
    3. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Chia-Lin Chang & Michael McAleer & Christine Lim, 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE 2011-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Chang, Chia-Lin & Huang, Biing-Wen & Chen, Meng-Gu & McAleer, Michael, 2011. "Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1491-1506.
    6. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CARF F-Series CARF-F-159, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE 2012-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Oct 2012.
    8. Chen, P-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Econometric Institute Research Papers EI 2010-56, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
    10. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235.
    11. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
    12. Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19.
    13. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3076-3088.
    14. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
    15. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    16. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
    17. Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    18. LanFen Chu & Chi-Chung Chen & Michael McAleer, 2010. "How Volatile is ENSO?," Working Papers in Economics 10/31, University of Canterbury, Department of Economics and Finance.
    19. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 155-171.
    20. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
    21. Francq, Christian & Zakoian, Jean-Michel, 2024. "Finite moments testing in a general class of nonlinear time series models," MPRA Paper 121193, University Library of Munich, Germany.
    22. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
    23. He, Yongda & Lin, Boqiang, 2023. "Is market power the cause of asymmetric pricing in China's refined oil market?," Energy Economics, Elsevier, vol. 124(C).
    24. Watkins, Clinton & McAleer, Michael, 2005. "Related commodity markets and conditional correlations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 567-579.
    25. Haas, Markus, 2009. "Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1674-1683, August.
    26. Charles, Amélie & Darné, Olivier, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, Elsevier, vol. 157(C), pages 179-202.
    27. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
    28. 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.
    29. Tao, Juan & Green, Christopher J., 2012. "Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 26-37.
    30. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge.
    31. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    32. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo.
    33. Carol Alexander & Emese Lazar & Silvia Stanescu, 2010. "Analytic Moments for GARCH Processes," ICMA Centre Discussion Papers in Finance icma-dp2011-07, Henley Business School, University of Reading, revised Apr 2011.
    34. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
    35. Amélie Charles & Olivier Darné, 2021. "Econometric history of the growth–volatility relationship in the USA: 1919–2017," Post-Print hal-03186891, HAL.
    36. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    37. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
    38. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
    39. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
    40. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
    41. Lee, O. & Shin, D. W., 2004. "Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility," Economics Letters, Elsevier, vol. 84(2), pages 167-173, August.
    42. 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.
    43. Chia-Lin Chang & Thanchanok Khamkaew & Roengchai Tansuchat & Michael McAleer, 2011. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Tourism Economics, , vol. 17(3), pages 481-507, June.
    44. Chia-Lin Chang & Michael McAleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," CIRJE F-Series CIRJE-F-691, CIRJE, Faculty of Economics, University of Tokyo.
    45. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
    46. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
    47. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers EI2015-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    48. Ha, Jeongcheol & Lee, Taewook, 2011. "NM-QELE for ARMA-GARCH models with non-Gaussian innovations," Statistics & Probability Letters, Elsevier, vol. 81(6), pages 694-703, June.
    49. Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013. "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, vol. 15(C), pages 211-232.
    50. Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
    51. Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity-Robust F-Test Statistic for Individual Effects," Economics Discussion Paper Series 1124, Economics, The University of Manchester.
    52. Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Energy: Resources and Markets 208768, Fondazione Eni Enrico Mattei (FEEM).
    53. Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
    54. Markus Haas & Jochen Krause & Marc S. Paolella & Sven C. Steude, 2013. "Time-Varying Mixture GARCH Models and Asymmetric Volatility," Swiss Finance Institute Research Paper Series 13-04, Swiss Finance Institute.
    55. Wan, Xiaoli & Yan, Yuruo & Zeng, Zhixiong, 2020. "Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    56. Chia-Lin Chang & Michael Mcaleer, 2012. "Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, September.
    57. So, Mike K.P. & Chung, Ray S.W., 2015. "Statistical inference for conditional quantiles in nonlinear time series models," Journal of Econometrics, Elsevier, vol. 189(2), pages 457-472.
    58. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
    59. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
    60. Shareef, Riaz & McAleer, Michael, 2008. "Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 459-468.
    61. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
    62. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain," CIRJE F-Series CIRJE-F-665, CIRJE, Faculty of Economics, University of Tokyo.
    63. Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
    64. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 585-592.
    65. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
    66. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Volatility in Global Fertilizer Prices," KIER Working Papers 705, Kyoto University, Institute of Economic Research.
    67. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, January.
    68. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
    69. Divino, Jose Angelo & McAleer, Michael, 2010. "Modelling and forecasting daily international mass tourism to Peru," Tourism Management, Elsevier, vol. 31(6), pages 846-854.
    70. Baur, Dirk G. & Dimpfl, Thomas & Kuck, Konstantin, 2018. "Bitcoin, gold and the US dollar – A replication and extension," Finance Research Letters, Elsevier, vol. 25(C), pages 103-110.
    71. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, January.
    72. Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.
    73. 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.
    74. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
    75. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
    76. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
    77. Manabu Asai, 2013. "Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 469-480, August.
    78. 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.
    79. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
    80. Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does the Great Recession imply the end of the Great Moderation? International evidence," Post-Print hal-01757081, HAL.
    81. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    82. Aknouche, Abdelhakim & Bentarzi, Mohamed, 2008. "On the existence of higher-order moments of periodic GARCH models," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3262-3268, December.
    83. Verhoeven, Peter & McAleer, Michael, 2004. "Fat tails and asymmetry in financial volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 351-361.
    84. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
    85. Lumengo Bonga-Bonga & Tebogo Maake, 2021. "The Relationship between Carry Trade and Asset Markets in South Africa," JRFM, MDPI, vol. 14(7), pages 1-13, July.
    86. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
    87. Medeiros, Marcelo C. & Mendes, Eduardo F., 2016. "ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 191(1), pages 255-271.
    88. Muthucattu Thomas Paul, 2018. "The Issues and Implications About the Volatility of the Stock and the Bond Prices and Their Returns and the Volatility of Interest Rates and Inflation - Which Are Being Researched in Finance and Macro," Applied Economics and Finance, Redfame publishing, vol. 5(2), pages 125-142, March.
    89. Bartolomé, Ana & McAleer, Michael & Ramos, Vicente & Rey-Maquieira, Javier, 2009. "A risk map of international tourist regions in Spain," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2741-2758.
    90. Alex Huang, 2011. "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Springer;Society for Computational Economics, vol. 37(3), pages 301-330, March.
    91. Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," Documentos de Trabajo del ICAE 2009-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    92. Lönnbark, Carl, 2017. "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, vol. 23(C), pages 202-209.
    93. Ng, Hock Guan & McAleer, Michael, 2004. "Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations," International Journal of Forecasting, Elsevier, vol. 20(1), pages 115-129.
    94. Hoti, Suhejla & McAleer, Michael & Pauwels, Laurent L., 2008. "Multivariate volatility in environmental finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 189-199.
    95. Grier, Kevin B. & Smallwood, Aaron D., 2013. "Exchange rate shocks and trade: A multivariate GARCH-M approach," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 282-305.
    96. Sang Hoon Kang & SEONG-MIN YOON, 2008. "Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market," Korean Economic Review, Korean Economic Association, vol. 24, pages 383-412.
    97. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    98. Chang, C-L. & Huang, B-W. & Chen, M-G., 2010. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan," Econometric Institute Research Papers EI 2010-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    99. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Modelling the asymmetric volatility of anti-pollution patents in the USA," Scientometrics, Springer;Akadémiai Kiadó, vol. 59(2), pages 179-197, February.
    100. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    101. Saidi, Youssef & Zakoian, Jean-Michel, 2006. "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper 61988, University Library of Munich, Germany, revised 2006.
    102. Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum, 2023. "Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 96-121.
    103. Asai, Manabu & McAleer, Michael & de Veiga, Bernardo, 2008. "Portfolio single index (PSI) multivariate conditional and stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 209-214.
    104. Smallwood, Aaron D., 2019. "Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach," Economic Modelling, Elsevier, vol. 82(C), pages 332-344.
    105. Chia-Lin Chang & Michael McAleer & Christine Lim, 2009. "Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan," CIRJE F-Series CIRJE-F-647, CIRJE, Faculty of Economics, University of Tokyo.
    106. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
    107. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
    108. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
    109. Yang, Yung-Lieh & Chang, Chia-Lin, 2008. "A double-threshold GARCH model of stock market and currency shocks on stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 458-474.
    110. Matteo Manera & Michael McAleer & Margherita Grasso, 2006. "Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(7), pages 525-533.
    111. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2008. "Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations," Post-Print halshs-00270719, HAL.
    112. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
    113. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    114. Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).
    115. Luis Gil-Alana, 2010. "Testing persistence in the context of conditional heteroscedasticity errors," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1709-1723.
    116. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
    117. Dora Marinova & Michael McAleer, 2002. "Trends and volatility in Japanese patenting in the USA: An analysis of the electronics and transport industries," Scientometrics, Springer;Akadémiai Kiadó, vol. 55(2), pages 171-187, August.
    118. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
    119. 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.
    120. Ngai Sze Han & Shiqing Ling, 2017. "Goodness-Of-Fit Test For Nonlinear Time Series Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-21, June.
    121. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    122. Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude, 2004. "Stability of random coefficient ARCH models and aggregation schemes," Journal of Econometrics, Elsevier, vol. 120(1), pages 139-158, May.
    123. Choi, M.S. & Park, J.A. & Hwang, S.Y., 2012. "Asymmetric GARCH processes featuring both threshold effect and bilinear structure," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 419-426.
    124. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    125. George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary University of London, School of Economics and Finance.
    126. Watkins, Clinton & McAleer, Michael, 2008. "How has volatility in metals markets changed?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 237-249.
    127. Marco Bee & Debbie J. Dupuis & Luca Trapin, 2016. "US stock returns: are there seasons of excesses?," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1453-1464, September.
    128. Cuong Nguyen & M. Bhatti & Aziz Hayat, 2014. "Volatility linkages in the spot and futures market in Australia: a copula approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(5), pages 2589-2603, September.
    129. Wang, Kai-Li & Fawson, Christopher & Chen, Mei-Ling & Wu, An-Chi, 2014. "Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 115-137.
    130. Kyungwon Kim & Jae Wook Song, 2020. "Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions," Sustainability, MDPI, vol. 12(3), pages 1-31, February.
    131. Haas, Markus, 2010. "Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations," Finance Research Letters, Elsevier, vol. 7(2), pages 86-97, June.
    132. Accolley, Delali, 2021. "Some Markov-Switching Models for the Toronto Stock Exchange," MPRA Paper 108072, University Library of Munich, Germany.
    133. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
    134. Kostyrka, Andreï & Malakhov, Dmitry, 2021. "Was there ever a shift: Empirical analysis of structural-shift tests for return volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 110-139.
    135. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    136. Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
    137. Hoti, Suhejla, 2005. "Comparative analysis of risk ratings for the East European region," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 449-462.
    138. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    139. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," IHEID Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies.
    140. Humphred Watard & Saidou Baba Oumar & Nkiendem Felix, 2024. "Volatility spillover effect analysis of African emerging stock exchange markets: 2018–2023," SN Business & Economics, Springer, vol. 4(10), pages 1-30, October.
    141. Giam Quang Do & Michael Mcaleer & Songsak Sriboonchitta, 2009. "Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets," Economics Bulletin, AccessEcon, vol. 29(2), pages 599-610.
    142. Chopra, Parvesh K. & Kanji, Gopal K., 2010. "On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(4), pages 479-515.
    143. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Cruising is Risky Business," CIRJE F-Series CIRJE-F-664, CIRJE, Faculty of Economics, University of Tokyo.
    144. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
    145. Xuejie Feng & Chiping Zhang, 2020. "A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 1021-1044, March.
    146. Hoti, Suhejla & McAleer, Michael & Chan, Felix, 2005. "Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 69(1), pages 46-56.
    147. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
    148. Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
    149. Hari Sharma Neupane & Chandra Lal Shrestha & Tara Prasad Upadhyaya, 2012. "Modelling Monthly International Tourist Arrivals and Its Risk in Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 24(1), pages 28-47, April.
    150. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2007. "Measuring Risk In Environmental Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 970-998, December.

  10. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.

    Cited by:

    1. Angelidis, Timotheos & Degiannakis, Stavros, 2005. "Modeling Risk for Long and Short Trading Positions," MPRA Paper 80467, University Library of Munich, Germany.
    2. Eunju Hwang, 2021. "Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations," Mathematics, MDPI, vol. 9(8), pages 1-10, April.
    3. Degiannakis, Stavros, 2004. "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 96330, University Library of Munich, Germany.
    4. Degiannakis, Stavros & Livada, Alexandra & Panas, Epaminondas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," MPRA Paper 80464, University Library of Munich, Germany.
    5. Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University.
    6. Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," Econometric Reviews, Taylor & Francis Journals, vol. 22(2), pages 179-202.
    7. Degiannakis, Stavros, 2004. "Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 80488, University Library of Munich, Germany.
    8. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 585-592.
    9. Maghyereh Aktham Issa & Awartani Basel, 2012. "Modeling and Forecasting Value-at-Risk in the UAE Stock Markets: The Role of Long Memory, Fat Tails and Asymmetries in Return Innovations," Review of Middle East Economics and Finance, De Gruyter, vol. 8(1), pages 1-22, August.
    10. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
    11. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
    12. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
    13. Verhoeven, Peter & Pilgram, Berndt & McAleer, Michael & Mees, Alistair, 2002. "Non-linear modelling and forecasting of S&P 500 volatility," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 233-241.
    14. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.

  11. Ling, S. & McAleer, M., 2001. "Regression Quantiles for Unstable Autoregressive Models," ISER Discussion Paper 0526, Institute of Social and Economic Research, Osaka University.

    Cited by:

    1. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
    2. Christis Katsouris, 2022. "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers 2204.02073, arXiv.org, revised Aug 2023.
    3. Guodong Li & Yang Li & Chih-Ling Tsai, 2015. "Quantile Correlations and Quantile Autoregressive Modeling," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 246-261, March.
    4. D. M. Mahinda Samarakoon & Keith Knight, 2009. "A Note on Unit Root Tests with Infinite Variance Noise," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 314-334.

Articles

  1. Min Chen & Dong Li & Shiqing Ling, 2014. "Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 189-202, May.

    Cited by:

    1. Abdelhakim Aknouche, 2015. "Quadratic random coefficient autoregression with linear-in-parameters volatility," Statistical Inference for Stochastic Processes, Springer, vol. 18(2), pages 99-125, July.
    2. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    3. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
    4. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
    5. 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.
    6. 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).
    7. Aknouche, Abdelhakim, 2015. "Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes," MPRA Paper 69572, University Library of Munich, Germany.
    8. Djogbenou, Antoine & Inan, Emre & Jasiak, Joann, 2023. "Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether," Journal of International Money and Finance, Elsevier, vol. 139(C).
    9. 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.
    10. Zhu Huafeng & Zhang Xingfa & Liang Xin & Li Yuan, 2018. "Moving Average Model with an Alternative GARCH-Type Error," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 165-177, April.

  2. Ling, Shiqing & Zhu, Ke & Yee, Chong Ching, 2013. "Diagnostic checking for non-stationary ARMA models with an application to financial data," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 624-639.

    Cited by:

    1. Chia-Lin Chang & David Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Documentos de Trabajo del ICAE 2013-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

  3. Li, Dong & Ling, Shiqing & Li, Wai Keung, 2013. "Asymptotic Theory On The Least Squares Estimation Of Threshold Moving-Average Models," Econometric Theory, Cambridge University Press, vol. 29(3), pages 482-516, June.

    Cited by:

    1. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
    2. Wu, K.Y.K. & Li, W.K., 2015. "Double Generalized Threshold Models with constraint on the dispersion by the mean," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 59-73.
    3. Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel, 2015. "Asymptotic inference in multiple-threshold double autoregressive models," Journal of Econometrics, Elsevier, vol. 189(2), pages 415-427.
    4. Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014. "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper 53874, University Library of Munich, Germany.
    5. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Center for Research in Economics and Statistics.
    6. Zhang, Xinyu & Li, Dong & Tong, Howell, 2023. "On the least squares estimation of multiple-threshold-variable autoregressive models," LSE Research Online Documents on Economics 118377, London School of Economics and Political Science, LSE Library.
    7. Chih‐Hao Chang & Kam‐Fai Wong & Wei‐Yee Lim, 2023. "Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(1), pages 4-47, February.

  4. Zhu, Ke & Ling, Shiqing, 2012. "THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1065-1086, October.

    Cited by:

    1. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    2. Yang, Yaxing & Ling, Shiqing & Wang, Qiying, 2022. "Consistency of global LSE for MA(1) models," Statistics & Probability Letters, Elsevier, vol. 182(C).
    3. Zhu, Ke & Li, Wai Keung, 2015. "A bootstrapped spectral test for adequacy in weak ARMA models," Journal of Econometrics, Elsevier, vol. 187(1), pages 113-130.
    4. 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.
    5. 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.
    6. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
    7. 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.

  5. Ke Zhu & Shiqing Ling, 2012. "Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(2), pages 223-232, March.

    Cited by:

    1. Fukang Zhu & Mengya Liu & Shiqing Ling & Zongwu Cai, 2020. "Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202021, University of Kansas, Department of Economics, revised Dec 2020.
    2. Jeffrey Frankel, 2023. "Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes," CID Working Papers 429, Center for International Development at Harvard University.
    3. Zhu, Ke & Yu, Philip L.H. & Li, Wai Keung, 2013. "Testing for the buffered autoregressive processes," MPRA Paper 51706, University Library of Munich, Germany.
    4. Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014. "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper 53874, University Library of Munich, Germany.

  6. 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.

    Cited by:

    1. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Oracle Estimation of a Change Point in High-Dimensional Quantile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1184-1194, July.
    2. Yoonseok Lee & Yulong Wang, 2020. "Inference in Threshold Models," Center for Policy Research Working Papers 223, Center for Policy Research, Maxwell School, Syracuse University.
    3. Kourtellos, Andros & Stengos, Thanasis & Sun, Yiguo, 2022. "Endogeneity In Semiparametric Threshold Regression," Econometric Theory, Cambridge University Press, vol. 38(3), pages 562-595, June.
    4. Jesús Gonzalo & Jean-Yves Pitarakis, 2013. "Estimation and inference in threshold type regime switching models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205, Edward Elgar Publishing.
    5. Kai Yang & Dehui Wang & Boting Jia & Han Li, 2018. "An integer-valued threshold autoregressive process based on negative binomial thinning," Statistical Papers, Springer, vol. 59(3), pages 1131-1160, September.
    6. Haiqiang Chen, "undated". "Robust Estimation and Inference for Threshold Models with Integrated Regressors," Working Papers 2013-12-02, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    7. Han Li & Kai Yang & Shishun Zhao & Dehui Wang, 2018. "First-order random coefficients integer-valued threshold autoregressive processes," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(3), pages 305-331, July.
    8. Sun, Yuying & Han, Ai & Hong, Yongmiao & Wang, Shouyang, 2018. "Threshold autoregressive models for interval-valued time series data," Journal of Econometrics, Elsevier, vol. 206(2), pages 414-446.
    9. Jeffrey Frankel, 2023. "Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes," CID Working Papers 429, Center for International Development at Harvard University.
    10. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    11. Chun Yip Yau & Chong Man Tang & Thomas C. M. Lee, 2015. "Estimation of Multiple-Regime Threshold Autoregressive Models With Structural Breaks," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(511), pages 1175-1186, September.
    12. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
    13. Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019. "Robust inference for threshold regression models," Journal of Econometrics, Elsevier, vol. 210(2), pages 291-309.
    14. Chan, Ngai Hang & Yau, Chun Yip & Zhang, Rong-Mao, 2015. "LASSO estimation of threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 189(2), pages 285-296.
    15. Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel, 2015. "Asymptotic inference in multiple-threshold double autoregressive models," Journal of Econometrics, Elsevier, vol. 189(2), pages 415-427.
    16. Miao, Ke & Su, Liangjun & Wang, Wendun, 2020. "Panel threshold regressions with latent group structures," Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
    17. Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao, 2017. "Quantile Regression on Quantile Ranges – A Threshold Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 99-119, January.
    18. Li, Dong & Tong, Howell, 2016. "Nested sub-sample search algorithm for estimation of threshold models," LSE Research Online Documents on Economics 68880, London School of Economics and Political Science, LSE Library.
    19. 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.
    20. Yaxing Yang & Shiqing Ling, 2018. "A Note On The Lse Of Three-Regime Tar Model With An Infinite Variance," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-13, June.
    21. Victor V. Konev & Sergey E. Vorobeychikov, 2022. "Fixed accuracy estimation of parameters in a threshold autoregressive model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 685-711, August.
    22. Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014. "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper 53874, University Library of Munich, Germany.
    23. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Center for Research in Economics and Statistics.
    24. Zhang, Xinyu & Li, Dong & Tong, Howell, 2023. "On the least squares estimation of multiple-threshold-variable autoregressive models," LSE Research Online Documents on Economics 118377, London School of Economics and Political Science, LSE Library.
    25. Yaxing Yang & Shiqing Ling, 2017. "Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 318-333, April.
    26. Chih‐Hao Chang & Kam‐Fai Wong & Wei‐Yee Lim, 2023. "Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(1), pages 4-47, February.
    27. Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.

  7. István Berkes & Lajos Horváth & Shiqing Ling & Johannes Schauer, 2011. "Testing for structural change of AR model to threshold AR model," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 547-565, September.

    Cited by:

    1. Fukang Zhu & Mengya Liu & Shiqing Ling & Zongwu Cai, 2020. "Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202021, University of Kansas, Department of Economics, revised Dec 2020.
    2. Chong, Terence Tai Leung & Pang, Tianxiao & Zhang, Danna & Liang, Yanling, 2017. "Structural change in non-stationary AR(1) models," MPRA Paper 80510, University Library of Munich, Germany.

  8. Shiqing Ling & Michael McAleer, 2010. "A general asymptotic theory for time‐series models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(1), pages 97-111, February.
    See citations under working paper version above.
  9. Aue, Alexander & Horváth, Lajos & Hušková, Marie & Ling, Shiqing, 2009. "On Distinguishing Between Random Walk And Change In The Mean Alternatives," Econometric Theory, Cambridge University Press, vol. 25(2), pages 411-441, April.

    Cited by:

    1. Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
    2. Holger Dette & Dominik Wied, 2016. "Detecting relevant changes in time series models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 371-394, March.
    3. Marco R. Barassi & Nicola Spagnolo & Yuqian Zhao, 2018. "Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(4), pages 923-968, December.

  10. István Berkes & Lajos Horváth & Shiqing Ling, 2009. "Estimation in nonstationary random coefficient autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 395-416, July.

    Cited by:

    1. Aknouche, Abdelhakim & Al-Eid, Eid M. & Hmeid, Aboubakry M., 2011. "Offline and online weighted least squares estimation of nonstationary power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1535-1540, October.
    2. Abdelhakim Aknouche, 2015. "Quadratic random coefficient autoregression with linear-in-parameters volatility," Statistical Inference for Stochastic Processes, Springer, vol. 18(2), pages 99-125, July.
    3. Min Chen & Dong Li & Shiqing Ling, 2014. "Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 189-202, May.
    4. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    5. Trapani, Lorenzo, 2021. "A test for strict stationarity in a random coefficient autoregressive model of order 1," Statistics & Probability Letters, Elsevier, vol. 177(C).
    6. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    7. Lorenzo Trapani, 2021. "Testing for strict stationarity in a random coefficient autoregressive model," Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
    8. Mohammed Benmoumen & Imane Salhi, 2023. "The Strong Consistency of Quasi-Maximum Likelihood Estimators for p-order Random Coefficient Autoregressive (RCA) Models," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 617-632, February.
    9. Daisuke Nagakura, 2009. "Inconsistency of a Unit Root Test against Stochastic Unit Root Processes," IMES Discussion Paper Series 09-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
    10. Abdelhakim Aknouche, 2012. "Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases," Statistical Inference for Stochastic Processes, Springer, vol. 15(3), pages 241-256, October.
    11. Lajos Horvath & Lorenzo Trapani, 2018. "Testing for randomness in a random coefficient autoregression model," Discussion Papers 18/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    12. Aknouche, Abdelhakim, 2015. "Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes," MPRA Paper 69572, University Library of Munich, Germany.
    13. Proïa, Frédéric & Soltane, Marius, 2021. "Comments on the presence of serial correlation in the random coefficients of an autoregressive process," Statistics & Probability Letters, Elsevier, vol. 170(C).
    14. Nagakura, Daisuke, 2009. "Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2476-2483, December.
    15. Chi Yao & Wei Yu & Xuejun Wang, 2023. "Strong Consistency for the Conditional Self-weighted M Estimator of GRCA(p) Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-21, March.
    16. Bercu, Bernard & Blandin, Vassili, 2015. "A Rademacher–Menchov approach for random coefficient bifurcating autoregressive processes," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1218-1243.
    17. Horváth, Lajos & Trapani, Lorenzo, 2016. "Statistical inference in a random coefficient panel model," Journal of Econometrics, Elsevier, vol. 193(1), pages 54-75.
    18. Abdelhakim Aknouche & Eid Al-Eid, 2012. "Asymptotic inference of unstable periodic ARCH processes," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 61-79, April.
    19. Jonathan Hill & Liang Peng, 2014. "Unified Interval Estimation For Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 282-297, May.
    20. Zheqi Wang & Dehui Wang & Jianhua Cheng, 2023. "A new autoregressive process driven by explanatory variables and past observations: an application to PM 2.5," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(2), pages 619-658, June.
    21. Thorsten Fink & Jens-Peter Kreiss, 2013. "Bootstrap For Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 646-667, November.

  11. Shiqing Ling & Dong Li, 2008. "Asymptotic inference for a nonstationary double AR (1) model," Biometrika, Biometrika Trust, vol. 95(1), pages 257-263.

    Cited by:

    1. Aknouche, Abdelhakim & Al-Eid, Eid M. & Hmeid, Aboubakry M., 2011. "Offline and online weighted least squares estimation of nonstationary power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1535-1540, October.
    2. Abdelhakim Aknouche, 2015. "Quadratic random coefficient autoregression with linear-in-parameters volatility," Statistical Inference for Stochastic Processes, Springer, vol. 18(2), pages 99-125, July.
    3. Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
    4. Min Chen & Dong Li & Shiqing Ling, 2014. "Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 189-202, May.
    5. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    6. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    7. Guodong Li & Qianqian Zhu & Zhao Liu & Wai Keung Li, 2017. "On Mixture Double Autoregressive Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 306-317, April.
    8. Gouriéroux, Christian & Zakoian, Jean-Michel, 2016. "Local Explosion Modelling by Noncausal Process," MPRA Paper 71105, University Library of Munich, Germany.
    9. 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.
    10. Huan Gong & Dong Li, 2020. "On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 883-891, November.
    11. Christian Francq & Jean-Michel Zakoian, 2013. "Inference in Non Stationary Asymmetric Garch Models," Working Papers 2013-11, Center for Research in Economics and Statistics.
    12. Abdelhakim Aknouche, 2012. "Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases," Statistical Inference for Stochastic Processes, Springer, vol. 15(3), pages 241-256, October.
    13. 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).
    14. Aknouche, Abdelhakim, 2015. "Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes," MPRA Paper 69572, University Library of Munich, Germany.
    15. Djogbenou, Antoine & Inan, Emre & Jasiak, Joann, 2023. "Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether," Journal of International Money and Finance, Elsevier, vol. 139(C).
    16. 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.
    17. Zhu Huafeng & Zhang Xingfa & Liang Xin & Li Yuan, 2018. "Moving Average Model with an Alternative GARCH-Type Error," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 165-177, April.
    18. 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.
    19. Abdelhakim Aknouche & Eid Al-Eid, 2012. "Asymptotic inference of unstable periodic ARCH processes," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 61-79, April.
    20. Aknouche Abdelhakim, 2013. "Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 25-46, January.
    21. Liu, Ji-Chun, 2012. "Structure of a double autoregressive process driven by a hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1468-1473.
    22. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
    23. Yoon, Gawon, 2016. "Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests," Economic Modelling, Elsevier, vol. 52(PB), pages 725-732.

  12. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.

    Cited by:

    1. Ziel, Florian, 2016. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 773-793.
    2. Chen, Min & Zhu, Ke, 2013. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," MPRA Paper 50487, University Library of Munich, Germany.
    3. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2009. "Merits and drawbacks of variance targeting in GARCH models," MPRA Paper 15143, University Library of Munich, Germany.
    4. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    5. Ding, Jing & Jiang, Lei & Liu, Xiaohui & Peng, Liang, 2023. "Nonparametric tests for market timing ability using daily mutual fund returns," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
    6. Francq, Christian & Zakoïan, Jean-Michel, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Journal of Econometrics, Elsevier, vol. 159(1), pages 151-165, November.
    7. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
    8. Francq, Christian & Zakoian, Jean-Michel, 2014. "Estimating multivariate GARCH and stochastic correlation models equation by equation," MPRA Paper 54250, University Library of Munich, Germany.
    9. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
    10. Jungsik Noh & Sangyeol Lee, 2016. "Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 700-720, September.
    11. Zhu, Ke & Li, Wai Keung, 2015. "A bootstrapped spectral test for adequacy in weak ARMA models," Journal of Econometrics, Elsevier, vol. 187(1), pages 113-130.
    12. Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
    13. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
    14. So, Mike K.P. & Chan, Thomas W.C. & Chu, Amanda M.Y., 2022. "Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management," Journal of Econometrics, Elsevier, vol. 227(1), pages 151-167.
    15. Yun Gong & Zhouping Li & Liang Peng, 2010. "Empirical likelihood intervals for conditional Value‐at‐Risk in ARCH/GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 65-75, March.
    16. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    17. Xinyang Wang & Dehui Wang & Kai Yang, 2021. "Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 713-750, July.
    18. Abdelhakim Aknouche, 2012. "Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases," Statistical Inference for Stochastic Processes, Springer, vol. 15(3), pages 241-256, October.
    19. 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.
    20. Zhu, Ke & Li, Wai Keung, 2014. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52732, University Library of Munich, Germany.
    21. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
    22. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
    23. 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.
    24. 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).
    25. Ngai Chan & Liang Peng & Rongmao Zhang, 2012. "Interval estimation of the tail index of a GARCH(1,1) model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 546-565, September.
    26. Zhu, Ke, 2015. "Hausman tests for the error distribution in conditionally heteroskedastic models," MPRA Paper 66991, University Library of Munich, Germany.
    27. Han Li & Kai Yang & Dehui Wang, 2017. "Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes," Computational Statistics, Springer, vol. 32(4), pages 1597-1620, December.
    28. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
    29. 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.
    30. Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.
    31. Benjamin R. Auer, 2022. "On false discoveries of standard t-tests in investment management applications," Review of Managerial Science, Springer, vol. 16(3), pages 751-768, April.
    32. Bravo, Francesco & Li, Degui & Tjøstheim, Dag, 2021. "Robust nonlinear regression estimation in null recurrent time series," Journal of Econometrics, Elsevier, vol. 224(2), pages 416-438.
    33. Florian Ziel, 2015. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes," Papers 1502.06557, arXiv.org, revised Dec 2015.
    34. Xinghui Wang & Shuhe Hu, 2017. "Asymptotics of self-weighted M-estimators for autoregressive models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 83-92, January.
    35. Abdelhakim Aknouche & Eid Al-Eid, 2012. "Asymptotic inference of unstable periodic ARCH processes," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 61-79, April.
    36. 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.
    37. Mo Zhou & Liang Peng & Rongmao Zhang, 2021. "Empirical likelihood test for the application of swqmele in fitting an arma‐garch model," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 222-239, March.
    38. Perera, Indeewara & Silvapulle, Mervyn J., 2023. "Bootstrap specification tests for dynamic conditional distribution models," Journal of Econometrics, Elsevier, vol. 235(2), pages 949-971.
    39. Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Properties of the QMLE and the Weighted LSE for LARCH(q) Models," Working Papers 2009-19, Center for Research in Economics and Statistics.
    40. Moosup Kim & Sangyeol Lee, 2016. "On the tail index inference for heavy-tailed GARCH-type innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(2), pages 237-267, April.
    41. Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, vol. 165(2), pages 246-257.

  13. Chan, Ngai Hang & Ling, Shiqing, 2006. "Empirical Likelihood For Garch Models," Econometric Theory, Cambridge University Press, vol. 22(3), pages 403-428, June.

    Cited by:

    1. Li, Jinyu & Liang, Wei & He, Shuyuan, 2011. "Empirical likelihood for LAD estimators in infinite variance ARMA models," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 212-219, February.
    2. Kai Yang & Xue Ding & Xiaohui Yuan, 2022. "Bayesian empirical likelihood inference and order shrinkage for autoregressive models," Statistical Papers, Springer, vol. 63(1), pages 97-121, February.
    3. Ramadha D. Piyadi Gamage & Wei Ning, 2020. "Inference for short‐memory time series models based on modified empirical likelihood," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 62(3), pages 322-339, September.
    4. Yun Gong & Zhouping Li & Liang Peng, 2010. "Empirical likelihood intervals for conditional Value‐at‐Risk in ARCH/GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 65-75, March.
    5. Wu, Rongning & Cao, Jiguo, 2011. "Blockwise empirical likelihood for time series of counts," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 661-673, March.
    6. Hill, Jonathan B., 2015. "Robust Generalized Empirical Likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 131-152.
    7. Li, Minqiang & Peng, Liang & Qi, Yongcheng, 2011. "Reduce computation in profile empirical likelihood method," MPRA Paper 33744, University Library of Munich, Germany.
    8. Chimka Justin R. & Wang Qilu, 2013. "Assessment of Traditional Demerits and a New Ordinal Alternative," Stochastics and Quality Control, De Gruyter, vol. 28(2), pages 71-76, December.
    9. Ramadha D. Piyadi Gamage & Wei Ning & Arjun K. Gupta, 2017. "Adjusted Empirical Likelihood for Time Series Models," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 79(2), pages 336-360, November.
    10. Zhang, Rongmao & Peng, Liang & Qi, Yongcheng, 2012. "Jackknife-blockwise empirical likelihood methods under dependence," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 56-72, February.
    11. Gong, Yun & Peng, Liang & Qi, Yongcheng, 2010. "Smoothed jackknife empirical likelihood method for ROC curve," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1520-1531, July.
    12. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
    13. Gianfranco Adimari & Annamaria Guolo, 2010. "A note on the asymptotic behaviour of empirical likelihood statistics," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(4), pages 463-476, November.
    14. Li, Jinyu & Liang, Wei & He, Shuyuan & Wu, Xianbin, 2010. "Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1420-1430, September.
    15. Mo Zhou & Liang Peng & Rongmao Zhang, 2021. "Empirical likelihood test for the application of swqmele in fitting an arma‐garch model," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 222-239, March.
    16. Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    17. Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.

  14. 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.

    Cited by:

    1. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
    2. 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.
    3. Violetta Dalla & Liudas Giraitis & Peter C. B. Phillips, 2020. "Robust Tests for White Noise and Cross-Correlation," Working Papers 906, Queen Mary University of London, School of Economics and Finance.
    4. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
    5. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
    6. Yi-Ting Chen & Zhongjun Qu, 2015. "M Tests with a New Normalization Matrix," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 617-652, May.
    7. Kilani Ghoudi & Bruno Rémillard, 2018. "Serial independence tests for innovations of conditional mean and variance models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 3-26, March.
    8. 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.
    9. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
    10. De Gooijer, Jan G., 2023. "On portmanteau-type tests for nonlinear multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    11. Yaxing Yang & Shiqing Ling, 2017. "Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 318-333, April.
    12. Carlos Velasco & Xuexin Wang, 2015. "A Joint Portmanteau Test For Conditional Mean And Variance Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 39-60, January.

  15. Shiqing Ling, 2005. "Self‐weighted least absolute deviation estimation for infinite variance autoregressive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(3), pages 381-393, June.

    Cited by:

    1. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    2. Daniel Preve, "undated". "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series GRU_2016_001, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    3. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
    4. Ruidong Han & Xinghui Wang & Shuhe Hu, 2018. "Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(3), pages 479-490, August.
    5. A Clements & D Preve, 2019. "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series 120, National Centre for Econometric Research.
    6. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
    7. Fumiya Akashi, 2017. "Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models," Statistical Inference for Stochastic Processes, Springer, vol. 20(3), pages 291-313, October.
    8. Cavaliere, Giuseppe & Georgiev, Iliyan, 2013. "Exploiting Infinite Variance Through Dummy Variables In Nonstationary Autoregressions," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1162-1195, December.
    9. Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.
    10. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.
    11. Zhou, Zhiyong & Lin, Zhengyan, 2014. "Asymptotic theory for LAD estimation of moderate deviations from a unit root," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 25-32.
    12. Hill, Jonathan B., 2015. "Robust Generalized Empirical Likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 131-152.
    13. 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.
    14. 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.
    15. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
    16. Song, Yuping & Cai, Chunchun & Mao, Huijue & Zhu, Min, 2024. "Self-weighted quantile regression estimation for diffusion parameter in jump–diffusion models," Statistics & Probability Letters, Elsevier, vol. 206(C).
    17. Nannan Ma & Hailin Sang & Guangyu Yang, 2023. "Least absolute deviation estimation for AR(1) processes with roots close to unity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(5), pages 799-832, October.
    18. Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.
    19. Fukang Zhu & Zongwu Cai & Liang Peng, 2014. "Predictive regressions for macroeconomic data," Papers 1404.7642, arXiv.org.
    20. D. M. Mahinda Samarakoon & Keith Knight, 2009. "A Note on Unit Root Tests with Infinite Variance Noise," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 314-334.
    21. Xinghui Wang & Shuhe Hu, 2017. "Asymptotics of self-weighted M-estimators for autoregressive models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 83-92, January.
    22. Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
    23. 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.
    24. Li, Jinyu & Liang, Wei & He, Shuyuan & Wu, Xianbin, 2010. "Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1420-1430, September.
    25. Andrews, Beth & Davis, Richard A., 2013. "Model identification for infinite variance autoregressive processes," Journal of Econometrics, Elsevier, vol. 172(2), pages 222-234.
    26. Zhou, Jie & Liu, San Y., 2009. "Inference for mean change-point in infinite variance AR(p) process," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 6-15, January.
    27. Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
    28. Marcel Carcea & Robert Serfling, 2015. "A Gini Autocovariance Function for Time Series Modelling," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 817-838, November.
    29. Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
    30. Zongwu Cai & Seong Yeon Chang, 2018. "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201811, University of Kansas, Department of Economics, revised Dec 2018.
    31. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
    32. Ke-Ang Fu & Ting Li & Chang Ni & Wenkai He & Renshui Wu, 2021. "Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors," Statistical Papers, Springer, vol. 62(3), pages 1407-1419, June.
    33. Arup Bose & Kanchan Mukherjee, 2009. "Bootstrapping a weighted linear estimator of the ARCH parameters," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 315-331, May.
    34. Akashi, Fumiya & Taniguchi, Masanobu & Monti, Anna Clara, 2020. "Robust causality test of infinite variance processes," Journal of Econometrics, Elsevier, vol. 216(1), pages 235-245.
    35. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
    36. Zhao Chen & Runze Li & Yaohua Wu, 2012. "Weighted quantile regression for AR model with infinite variance errors," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(3), pages 715-731.

  16. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(1), pages 83-103, March.

    Cited by:

    1. H. Peter Boswijk & Yang Zu, 2022. "Adaptive Testing for Cointegration With Nonstationary Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
    2. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79850, Verein für Socialpolitik / German Economic Association.
    3. Mikael Bask & Jarko Fidrmuc, 2009. "Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs," Open Economies Review, Springer, vol. 20(5), pages 589-605, November.
    4. Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.

  17. Shiqing Ling, 2004. "Estimation and testing stationarity for double‐autoregressive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 63-78, February.

    Cited by:

    1. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
    2. Min Chen & Dong Li & Shiqing Ling, 2014. "Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 189-202, May.
    3. Gourieroux, Christian & Jasiak, Joann, 2019. "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
    4. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    5. Guodong Li & Qianqian Zhu & Zhao Liu & Wai Keung Li, 2017. "On Mixture Double Autoregressive Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 306-317, April.
    6. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
    7. Lorenzo Trapani, 2021. "Testing for strict stationarity in a random coefficient autoregressive model," Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
    8. Christian M. Dahl & Emma M. Iglesias, 2010. "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers 2010-48, Department of Economics and Business Economics, Aarhus University.
    9. Nikolay Gospodinov & Taisuke Otsu, 2008. "Local GMM Estimation of Time Series Models with Conditional Moment Restrictions," Working Papers 08010, Concordia University, Department of Economics.
    10. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
    11. Muriel, Nelson & González-Farías, Graciela, 2018. "Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR," Econometrics and Statistics, Elsevier, vol. 7(C), pages 46-62.
    12. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, vol. 142(1), pages 312-326, January.
    13. 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.
    14. Huan Gong & Dong Li, 2020. "On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 883-891, November.
    15. Anthony J. Lawrance, 2010. "Volatile ARMA Modelling of GARCH Squares," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 2(3), pages 195-203, June.
    16. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
    17. Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, Department of Economics and Business Economics, Aarhus University.
    18. Iglesias Emma M, 2009. "Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
    19. Dahl Christian M & Iglesias Emma, 2011. "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
    20. 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).
    21. Marie Badreau & Frédéric Proïa, 2023. "Consistency and asymptotic normality in a class of nearly unstable processes," Statistical Inference for Stochastic Processes, Springer, vol. 26(3), pages 619-641, October.
    22. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.
    23. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
    24. Shiqing Ling & Michael McAleer, 2009. "A General Asymptotic Theory for Time Series Models," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo.
    25. Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
    26. Song, Zefang & Song, Xinyuan & Li, Yuan, 2023. "Bayesian Analysis of ARCH-M model with a dynamic latent variable," Econometrics and Statistics, Elsevier, vol. 28(C), pages 47-62.
    27. Wu, K.Y.K. & Li, W.K., 2015. "Double Generalized Threshold Models with constraint on the dispersion by the mean," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 59-73.
    28. Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel, 2015. "Asymptotic inference in multiple-threshold double autoregressive models," Journal of Econometrics, Elsevier, vol. 189(2), pages 415-427.
    29. Djogbenou, Antoine & Inan, Emre & Jasiak, Joann, 2023. "Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether," Journal of International Money and Finance, Elsevier, vol. 139(C).
    30. Francq, Christian & Zakoian, Jean-Michel, 2012. "Risk-parameter estimation in volatility models," MPRA Paper 41713, University Library of Munich, Germany.
    31. 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.
    32. Zhu Huafeng & Zhang Xingfa & Liang Xin & Li Yuan, 2018. "Moving Average Model with an Alternative GARCH-Type Error," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 165-177, April.
    33. 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.
    34. Westerlund, Joakim & Larsson, Rolf, 2009. "Testing for a Unit Root in a Random Coefficient Panel Data Model," Working Papers in Economics 383, University of Gothenburg, Department of Economics.
    35. Wang, Gaowen, 2006. "A note on unit root tests with heavy-tailed GARCH errors," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1075-1079, May.
    36. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Center for Research in Economics and Statistics.
    37. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
    38. Christan Francq & Jean-Michel Zakoian, 2012. "Optimal Predictions of Powers of Conditionally Heteroskedastic Processes," Working Papers 2012-17, Center for Research in Economics and Statistics.
    39. Shiqing Ling & Liang Peng & Fukang Zhu, 2015. "Inference For A Special Bilinear Time-Series Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 61-66, January.
    40. Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
    41. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
    42. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    43. Vidar Hjellvik & Rong Chen & Dag Tjøstheim, 2004. "Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 831-872, November.
    44. Liu, Ji-Chun, 2012. "Structure of a double autoregressive process driven by a hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1468-1473.
    45. Rodrigues, Paulo M.M. & Rubia, Antonio, 2005. "The performance of unit root tests under level-dependent heteroskedasticity," Economics Letters, Elsevier, vol. 89(3), pages 262-268, December.
    46. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
    47. Yoon, Gawon, 2016. "Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests," Economic Modelling, Elsevier, vol. 52(PB), pages 725-732.

  18. Ling, Shiqing & McAleer, Michael, 2004. "Regression quantiles for unstable autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 304-328, May.
    See citations under working paper version above.
  19. Ling S., 2003. "Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA-GARCH Models," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 955-967, January.

    Cited by:

    1. Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Monash Econometrics and Business Statistics Working Papers 8/22, Monash University, Department of Econometrics and Business Statistics.
    2. Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).
    3. Robinson, Peter, 2004. "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics 2126, London School of Economics and Political Science, LSE Library.
    4. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    5. Mustafa Salamh & Liqun Wang, 2021. "Second-Order Least Squares Estimation in Nonlinear Time Series Models with ARCH Errors," Econometrics, MDPI, vol. 9(4), pages 1-17, November.
    6. Shiqing Ling & Ke Zhu, 2022. "Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models," JRFM, MDPI, vol. 15(2), pages 1-17, February.
    7. Singh, Ranjodh B. & Gould, John & Chan, Felix & Yang, Joey Wenling, 2016. "Liquidation discount—a novel application of ARFIMA–GARCH," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 151-161.
    8. Shiqing Ling & Michael McAleer, 2009. "A General Asymptotic Theory for Time Series Models," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo.
    9. Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
    10. Zhang, Rong-Mao & Sin, Chor-yiu (CY) & Ling, Shiqing, 2015. "On functional limits of short- and long-memory linear processes with GARCH(1,1) noises," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 482-512.
    11. Yacouba Boubacar Maïnassara & Youssef Esstafa & Bruno Saussereau, 2021. "Estimating FARIMA models with uncorrelated but non-independent error terms," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 549-608, October.
    12. Chan, Ngai Hang & Zhang, Rong-Mao, 2013. "Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 18-33.
    13. Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    14. Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, vol. 165(2), pages 246-257.
    15. Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.

  20. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(2), pages 280-310, April.
    See citations under working paper version above.
  21. Ling, Shiqing & Li, W.K., 2003. "Asymptotic Inference For Unit Root Processes With Garch(1,1) Errors," Econometric Theory, Cambridge University Press, vol. 19(4), pages 541-564, August.

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    1. Avdoulas, Christos & Bekiros, Stelios & Boubaker, Sabri, 2016. "Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach," Economic Modelling, Elsevier, vol. 58(C), pages 580-587.
    2. H. Peter Boswijk & Yang Zu, 2022. "Adaptive Testing for Cointegration With Nonstationary Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
    3. Sarwar, Suleman & Tiwari, Aviral Kumar & Tingqiu, Cao, 2020. "Analyzing volatility spillovers between oil market and Asian stock markets," Resources Policy, Elsevier, vol. 66(C).
    4. Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 40-53.
    5. Nikolaos Kourogenis & Nikitas Pittis, 2008. "Testing for a unit root under errors with just barely infinite variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1066-1087, November.
    6. Muriel, Nelson & González-Farías, Graciela, 2018. "Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR," Econometrics and Statistics, Elsevier, vol. 7(C), pages 46-62.
    7. Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos, 2015. "On the Transmission of Memory in Garch-in-Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 706-720, September.
    8. Bernard Njindan Iyke, 2019. "A Test Of The Efficiency Of The Foreign Exchange Market In Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(12th BMEB), pages 439-464, January.
    9. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, vol. 142(1), pages 312-326, January.
    10. Xuedong Wu & Jeffrey H. Dorfman & Berna Karali, 2018. "The impact of data frequency on market efficiency tests of commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 696-714, June.
    11. Canepa, Alessandra, 2024. "Inflation dynamics and persistence: The importance of the uncertainty channel," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    12. Yushu Li, 2011. "Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems," CREATES Research Papers 2011-29, Department of Economics and Business Economics, Aarhus University.
    13. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    14. Canepa, Alessandra, 2022. "Ination Dynamics and Time-Varying Persistence: The Importance of the Uncertainty Channel," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202211, University of Turin.
    15. Li, Yong & Chong, Terence Tai-Leung & Zhang, Jie, 2012. "Testing for a unit root in the presence of stochastic volatility and leverage effect," Economic Modelling, Elsevier, vol. 29(5), pages 2035-2038.
    16. Guodong Li & Chenlei Leng & Chih-Ling Tsai, 2014. "A Hybrid Bootstrap Approach To Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 299-321, July.
    17. Paulo Rodrigues & Antonio Rubia, 2008. "A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity," Statistical Papers, Springer, vol. 49(3), pages 581-593, July.
    18. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
    19. H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute.
    20. Li, Yushu & Shukur, Ghazi, 2009. "Wavelet Improvement of the Over-rejection of Unit root test under GARCH errors," CAFO Working Papers 2009:7, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    21. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 Australasian Meetings 92, Econometric Society.
    22. Wang, Gaowen, 2006. "A note on unit root tests with heavy-tailed GARCH errors," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1075-1079, May.
    23. Agnieszka Jach & Piotr Kokoszka, 2004. "Subsampling Unit Root Tests for Heavy-Tailed Observations," Methodology and Computing in Applied Probability, Springer, vol. 6(1), pages 73-97, March.
    24. Gospodinov, Nikolay, 2008. "Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root," Journal of Econometrics, Elsevier, vol. 146(1), pages 146-161, September.
    25. Sin, C.Y. (Chor-yiu) & Lee, Cheng-Few, 2021. "Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression," Econometrics and Statistics, Elsevier, vol. 18(C), pages 117-142.
    26. Jin-Yu Zhang & Yong Li & Zhu-Ming Chen, 2013. "Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 89-100, January.
    27. Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
    28. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR Model: Wavelet Improvement under GARCH Distortion," CAFO Working Papers 2009:6, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    29. Horváth, Lajos & Kokoszka, Piotr, 2003. "A bootstrap approximation to a unit root test statistic for heavy-tailed observations," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 163-173, April.

  22. Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," Econometric Reviews, Taylor & Francis Journals, vol. 22(2), pages 179-202.
    See citations under working paper version above.
  23. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(3), pages 722-729, June.
    See citations under working paper version above.
  24. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
    See citations under working paper version above.
  25. Ling, Shiqing & Li, W.K., 2001. "Asymptotic Inference For Nonstationary Fractionally Integrated Autoregressive Moving-Average Models," Econometric Theory, Cambridge University Press, vol. 17(4), pages 738-764, August.

    Cited by:

    1. Jakob Roland Munch & Michael Svarer, "undated". "Mortality and Socio-economic Differences in a Competing Risks Model," Economics Working Papers 2001-1, Department of Economics and Business Economics, Aarhus University.
    2. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    3. Morten Ø. Nielsen & S Johansen, 2009. "Likelihood Inference For A Nonstationary Fractional Autoregressive Model," Working Paper 1172, Economics Department, Queen's University.
    4. Morten Orregaard Nielsen, 2004. "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 63-97, June.
    5. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
    6. Luis A. Gil‐Alana, 2004. "A joint test of fractional integration and structural breaks at a known period of time," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 691-700, September.

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