Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

The paper considers the double-autoregressive model "y"_"t" &equals; "φ""y"_{"t" - 1}&plus;"&epsiv;"_"t" with "&epsiv;"_"t" &equals;<formula format="inline"><file name="rssb_432_mu1.gif" type="gif" /></formula>. Consistency and asymptotic normality of the estimated parameters are proved under the condition "E" ln |"φ" &plus;√"&agr;""η"_{"t"</ sub>|0, which includes the cases with |"φ"|&equals;1 or |"φ"|1 as well...<//>}

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...

Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition α + β  1. The former has the usual unit root distribution and the latter is a...

This paper first derives the limiting distributions of the residual and the squared residual autocorrelation functions of the nonstationary autoregressive moving-average model, respectively. We then use them to construct two portmanteau statistics for testing the adequacy of the fitted model....