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A survey of recent theoretical results for time series models with GARCH errors

Li, Wai Keung (contributor); Ling, Shiqing (contributor); … - 2001 - [Elektronische Ressource]

This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is … directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for … stationary and nonstationary ARMA-GARCH are summarized. Various new ARCH-type models, including double threshold ARCH and GARCH …

Persistent link: https://www.econbiz.de/10001644062

Estimation and testing for unit root processes with GARCH(1,1) errors : theory and Monte Carlo evidence

Ling, Shiqing (contributor); Li, Wai Keung (contributor); … - 2001 - [Elektronische Ressource]

Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1 … ; Brownian motion ; GARCH model ; Least squares estimator ; Maximum likelihood estimator ; Unit root …

Persistent link: https://www.econbiz.de/10001644065

Time series forecasts of international tourism demand for Australia

Lim, Christine (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

This paper examines stationary and nonstationary time series by formally testing for the presence of unit roots and seasonal unit roots prior to estimation, model selection and forecasting. Various Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) models are estimated over the period...

Persistent link: https://www.econbiz.de/10001644080

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

Maekawa, Koichi (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

Persistent link: https://www.econbiz.de/10001644304