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Structure and asymptotic theory for STAR(1)-GARCH(1,1) models

Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2005

of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of …Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular …

Persistent link: https://www.econbiz.de/10011933956

Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors

Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - Department of Economics and Finance, College of … - 2010

- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10008765700

Structure and asymptotic theory for nonlinear models with GARCH errors

Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: EconomiA 16 (2015) 1, pp. 1-21

-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10011858424

Structure and asymptotic theory for nonlinear models with GARCH errors

Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 1-21

-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10011865378

Specification Testing in Nonlinear Time Series with Long-Range Dependence

GAO, Jiti; Wang, Qiying; Yin, Jiying - School of Economics, University of Adelaide - 2009

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with longÂ–range dependence. An asymptotically normal test is established even when longÂ–range dependence is involved. In order to...

Persistent link: https://www.econbiz.de/10008462872