MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS

By Changli He, Timo Teräsvirta, Hans Malmsten. Econometric Theory, 2002

96 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2cf1495de6649e1b918dd9c50b8bc47aec134549

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Citations in the corpus

GARCH models without positivity constraints: Exponential or log GARCH? (2012, background): “The following Lemma shows that this is also the case for | log ǫ2t | in the log-GARCH model, when the condition E log+ | log η20 | ∞ of Theorem 2.1 is slightly reinforced.”
Stylized Facts of Financial Time Series and Three Popular Models of Volatility (2004, background): “The autocorrelation function of the squared observations (m = 1), when ψ= 0, has the form ρn(1) = (1+φ2β2(n−1))exp{φ2βn(1− β2)−1}− 1 3 exp{φ2(1− β2)−1}− 1 , n≥ 1.”
Spillovers between Bitcoin and other assets during bear and bull markets (2018, methodology): “He and Terasvirta (2002) used a Vector Error Correction (VEC)-type formulation for h11t; h22t; . . . ::; hNNtð Þ=, to allow for interactions between the conditional variances, and referred to the resultant model as the extended CCC model.”
An Introduction to Univariate GARCH Models (2006, methodology): “For the rst-order EGARCH model, the decay of autocorrelations of squared observations is faster than exponential in the beginning before it slows down towards an exponential rate; see He et al. (2002).”
LARCH, leverage and long memory (2003, unknown): “Another important class used for modelling asymmetry in financial data consists of exponential ARCH (EGARCH) models (see Nelson (1991), Karanasos and Kim (2001), He et al. (2002) for the properties of EGARCH process).”
Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (2012, background): “Not surprisingly, theoretical investigations of EGARCH has attracted lot of attention since then, see for example [20, 27].”