Search Results - subject:"Linear ARCH"

Inconsistency of the MLE and inference based on weighted LS for LARCH models

Francq, Christian; Zakoïan, Jean-Michel - HAL - 2010

This paper considers a class of finite-order autoregressive linear ARCH models. The model captures the leverage effect … linear ARCH model. …

Persistent link: https://www.econbiz.de/10010898982

Inconsistency of the MLE and inference based on weighted LS for LARCH models

Francq, Christian; Zakoïan, Jean-Michel - HAL - 2010

This paper considers a class of finite-order autoregressive linear ARCH models. The model captures the leverage effect … linear ARCH model. …

Persistent link: https://www.econbiz.de/10010899056

Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models.

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2009

This paper considers a class of finite-order autoregressive linear ARCH models. The model captures the leverage effect …

Persistent link: https://www.econbiz.de/10005014738

LARCH, leverage and long memory

Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - London School of Economics (LSE) - 2003

sequence, with square summable weights. This model, which we call linear ARCH (LARCH), specializes to the asymmetric ARCH model …

Persistent link: https://www.econbiz.de/10010745453

LARCH, Leverage and Long Memory

Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M; … - Suntory and Toyota International Centres for Economics … - 2003

sequence, with square summable weights. This model, which we call linear ARCH (LARCH), specializes to the asymmetric ARCH model …

Persistent link: https://www.econbiz.de/10005797508

On the power of R/S-type tests under contiguous and semi long memory alternatives

GIRAITIS, Liudas; KOKOSZKA, Piotr; LEIPUS, Remigijus; … - Center for Operations Research and Econometrics (CORE), … - 2002

The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. We briefly review the long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated...

Persistent link: https://www.econbiz.de/10005043083

Weak convergence and distributional assumptions for a general class of nonliner arch models

Fornari, Fabio; Mele, Antonio - In: Econometric Reviews 16 (1997) 2, pp. 205-227

Persistent link: https://www.econbiz.de/10005644443