Results 11 to 20 of about 747,562 (306)
Stationarity and Memory of ARCH Models [PDF]
, 2000 Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and for any specification of the conditional second moment coefficients.
Paolo Zaffaroni
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Dynamic spatiotemporal ARCH models
Spatial Economic Analysis, 2023 Geo-referenced data are characterised by an inherent spatial dependence due to geographical proximity. In this paper, we introduce a dynamic spatiotemporal autoregressive conditional heteroscedasticity (ARCH) process to describe the effects of (i) the log-squared time-lagged outcome variable, the temporal effect, (ii) the spatial lag of the log-squared
Philipp Otto +2 more
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Multivariate rotated ARCH models [PDF]
Journal of Econometrics, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Noureldin, Diaa +2 more
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Qualitative threshold ARCH models [PDF]
Journal of Econometrics, 1992 The paper deals with the tradeoff between the flexibility of the conditional variance specification in terms of a given past value and the number of lags. A class of dynamic models is considered (QTARCH models) in which both the conditional mean and the conditional variance are symmetrically treated in order to discuss the possible cross-effects or ...
Gourieroux Christian, Monfort Alain
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WHITTLE ESTIMATION OF ARCH MODELS [PDF]
Econometric Theory, 2001 Summary: For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be \(\sqrt n\)-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of \textit{P. Zaffaroni} and \textit{B. d'Italia} [J. Econom. 115, 199--258 (2003; Zbl 1027.
Liudas Giraitis, Peter M. Robinson
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Adaptive testing in arch models [PDF]
Econometric Reviews, 2000 Specification tests for conditional heteroskedasticity that are derived under the assumption that the density of the innovation is Gaussian may not be powerful in light of the recent empirical results that the density is not Gaussian. We obtain specification tests for conditional heteroskedasticity under the assumption that the innovation density is a ...
Oliver Linton, Douglas G. Steigerwald
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A Continuous Time GARCH Process Driven by a Lévy Process: Stationarity and Second Order Behaviour [PDF]
, 2005 We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, tosuggest an extension of the (G)ARCH concept to continuous time processes.
Klüppelberg, Claudia +2 more
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Bayesian analysis of switching ARCH models [PDF]
Journal of Time Series Analysis, 2002 We consider a time series model with autoregressive conditional heteroscedasticity that is subject to changes in regime. The regimes evolve according to a multistate latent Markov switching process with unknown transition probabilities, and it is the constant in the variance process of the innovations that is subject to regime shifts.
Kaufmann, Sylvia +1 more
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A Binomial Integer-Valued ARCH Model [PDF]
The International Journal of Biostatistics, 2015 Abstract We present an integer-valued ARCH model which can be used for modeling time series of counts with under-, equi-, or overdispersion. The introduced model has a conditional binomial distribution, and it is shown to be strictly stationary and ergodic.
Ristić, Miroslav M. +2 more
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A Retrospective Study to Evaluate the Intra-Arch Dimensional Changes in Moderate Crowding Cases Treated Non Extraction with a Passive Self-Ligation Appliance [PDF]
Iranian Journal of Orthodontics, 2018 Background: Non-extraction treatment protocols are better accepted by patients as well as clinicians. Among the techniques and mechanics with the potential to facilitate non-extraction treatment includes headgears, fixed sagittal correctors, transverse ...
Vishal Bharadwaj +6 more
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