STATIONARITY AND MEMORY OF ARCH(∞) MODELS

By Paolo Zaffaroni. Econometric Theory, 2004

55 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/7f7100e7974f5bffec8f0a2c9bc5d1cabc04b11b

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Citations in the corpus

LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES (2007, background): “Note that (25) is a special form of (14). Both general ARCH(p) and GARCH(r, s) models fall into this framework when the weights ψj either vanish for j > p or decay exponentially to zero. This property implies the exponential decay rate of the autocorrelation of ζ2 t . Giraitis et al. (2000a) gave a ”
Gaussian inference on certain long-range dependent volatility models (2003, background): “Various stationarity conditions and memory properties of ARCH(∞) are discussed in RZ, Giraitis, Kokoska, and Leipus (1998) and Zaffaroni (2000).”
Volatility processes and volatility forecast with long memory (2004, background): “This direction is followed in Zumbach and Lynch (2001) and Lynch and Zumbach (2003), where information about the structure of the market is obtained by measuring the response function for the change of volatility.”
On the Autocorrelation Properties of Long‐Memory GARCH Processes (2004, methodology): “…to the LMGARCH( p, d, q) specification in (4)–(5) was considered by Baillie et al. (1996), who defined a FIGARCH( p, d, q) process via the equation AðLÞð1 LÞde2t ¼ xþ BðLÞvt: ð8Þ The FIGARCH( p, d, q) process is strictly stationary and ergodic but not square integrable (see Zaffaroni, 2000).”
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, methodology): “In the GARCH case, a corresponding specification has been proposed by Karanasos et al. (2004) based on an ARMA representation of GARCH processes and is closely related to the models by Zaffaroni (2004), Koulikov (2003) and Giraitis et al. (2004).”
Inequality Constraints in the Fractionally Integrated GARCH Model (2006, methodology): “Alternative specifications were suggested by Davidson (2004), Giraitis, Robinson, and Surgailis (2004), Karanasos, Psaradakis, and Sola (2004), and Zaffaroni (2004).”
Non-Negativity Conditions for the Hyperbolic GARCH Model (2010, unknown): “4 In a more general setting equation (1) together with ht = ω?+Ψ(L)ε2t , Ψ(L) = ∑∞ j=1 ψjL j with ψj ≥ 0 for all j, defines what is called an ARCH(∞) process (see Zaffaroni, 2004).”