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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
Meitz, Mika - Economics Institute for Research (SIR), … - 2005
We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary …
Persistent link: https://www.econbiz.de/10005423819
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Stability of nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - Department of Economics, Oxford University - 2007
generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. Conditions under which the model is stable in the …
Persistent link: https://www.econbiz.de/10004977882
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GARCH models without positivity constraints: Exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of Econometrics 177 (2013) 1, pp. 34-46
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on …, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric version of the log-GARCH …. The quasi-maximum likelihood estimation of the log-GARCH parameters is shown to be strongly consistent and asymptotically …
Persistent link: https://www.econbiz.de/10011052251
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GARCH models without positivity constraints: Exponential or Log GARCH?
Zakoïan, Jean-Michel; Wintenberger, Olivier; Francq, … - Université Paris-Dauphine (Paris IX) - 2013
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on …, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric version of the log-GARCH …. The quasi-maximum likelihood estimation of the log-GARCH parameters is shown to be strongly consistent and asymptotically …
Persistent link: https://www.econbiz.de/10011072512
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Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models
Li, Dong; Ling, Shiqing; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2013
This paper investigates a class of multiple-threshold models, called Multiple Threshold Double AR (MTDAR) models. A sufficient condition is obtained for the existence and uniqueness of a strictly stationary and ergodic solution to the first-order MTDAR model. We study the Quasi-Maximum...
Persistent link: https://www.econbiz.de/10010747015
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Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika; Saikkonen, Pentti - Department of Economics, Oxford University - 2007
heteroskedasticity (GARCH) and autoregressive conditional duration (ACD) models with possibly complicated non-linear structures. The …
Persistent link: https://www.econbiz.de/10005047884
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A note on the geometric ergodicity of a nonlinear AR–ARCH model
Meitz, Mika; Saikkonen, Pentti - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2010
This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive conditional heteroskedasticity model of order q...
Persistent link: https://www.econbiz.de/10008543442
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Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca
RIANE, Nizare - Volkswirtschaftliche Fakultät, … - 2014
The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...
Persistent link: https://www.econbiz.de/10011156979
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An ARCH model without intercept
Hafner, Christian M.; Preminger, Arie - In: Economics Letters 129 (2015) C, pp. 13-17
While theory of autoregressive conditional heteroskedasticity (ARCH) models is well understood for strictly stationary processes, some recent interest has focused on the nonstationary case. In the classical model including a positive intercept parameter, the volatility process diverges to...
Persistent link: https://www.econbiz.de/10011263447
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Random walk or chaos: A formal test on the Lyapunov exponent
Park, Joon Y.; Whang, Yoon-Jae - In: Journal of Econometrics 169 (2012) 1, pp. 61-74
A formal test on the Lyapunov exponent is developed to distinguish a random walk model from a chaotic system, which is based on the Nadaraya–Watson kernel estimator of the Lyapunov exponent. The asymptotic null distribution of our test statistic is free of nuisance parameter, and simply given...
Persistent link: https://www.econbiz.de/10010577524