This paper studies the asymptotic properties of the quasi-maximum likelihood estimator of ARCH(1) models without strict stationarity constraints, and considers applications to testing problems. The estimator is unrestricted, in the sense that the value of the intercept, which cannot be...

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the asymptotic size and power are adversely affected...

This paper proposes and analyzes tests that can be used to compare the accuracy of alternative conditional density forecasts of a variable. The tests are also valid in the broader context of model selection based on out-of-sample predictive ability. We restrict attention to the case of density...

We consider robust inference for an autoregressive parameter in a stationary autoregressive model with GARCH innovations when estimation is based on least squares estimation. As the innovations exhibit GARCH, they are by construction heavy-tailed with some tail index κ. The rate of consistency...

It is a well-established fact that testing a null hypothesis on the boundary of the parameter space, with an unknown number of nuisance parameters at the boundary, is infeasible in practice in the sense that limiting distributions of standard test statistics are non-pivotal. In particular,...

Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility...

In this paper we propose a new battery of test statistics for dynamic specification and density functional form in a wide range of multivariate time series models including linear and non-linear VAR specifications with multivariate GARCH disturbances. The tests are applied to the vector of...

The Vietnamese Stock Market was officially born on July 20, 2000, and considered an experiment, in the sense that it would likely accept adjustment and constraints to reflect the contemporaneous national economic settings. This paper is one of the first applied econometric studies investigating...

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...