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On stationarity in the ARCH(∞) model
Kazakevičius, Vytautas; Leipus, Remigijus - In: Econometric theory 18 (2002) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10001652580
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Mixing and moment properties of various GARCH and stochastic volatility models
Carrasco, Marine; Chen, Xiaohong - In: Econometric theory 18 (2002) 1, pp. 17-39
Persistent link: https://www.econbiz.de/10001652593
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Exponential realized GARCH-Itô volatility models
Kim, Donggyu - In: Econometric theory 40 (2024) 4, pp. 790-826
Persistent link: https://www.econbiz.de/10015154305
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Signal extraction in long memory stochastic volatility
Arteche, Josu - In: Econometric theory 31 (2015) 6, pp. 1382-1402
Persistent link: https://www.econbiz.de/10011545560
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Fourth moment structure of the GARCH(p,q) process
He, Changli; Teräsvirta, Timo - In: Econometric theory 15 (1999) 6, pp. 824-846
Persistent link: https://www.econbiz.de/10001507480
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Estimating weak GARCH representations
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 16 (2000) 5, pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
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Large sample distribution of weighted sums of ARCH(p) squared residual correlations
Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 17 (2001) 2, pp. 283-295
Persistent link: https://www.econbiz.de/10001568398
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Consistent estimation in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Saikkonen, Pentti - In: Econometric theory 17 (2001) 2, pp. 296-326
Persistent link: https://www.econbiz.de/10001568399
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Statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Saikkonen, Pentti - In: Econometric theory 17 (2001) 2, pp. 327-356
Persistent link: https://www.econbiz.de/10001568400
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Stationary ARCH models : dependence structure and central limit theorem
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus - In: Econometric theory 16 (2000) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10001568487