Inequality Constraints in the Fractionally Integrated GARCH Model

By Christian Conrad, Berthold R. Haag. 2006

117 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/96ea888959f3fc0a44c9e5f328a462e44ebb3ec2

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Citations in the corpus

Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach (2009, background): “On rearranging, an alternative representation for theA-FIGARCH (1; d; 1; k) model is then 2t = wt + 1 (1 L) 1(1 L)d(1 L) y2t (11) = wt + (L)y 2 t ; with 0 = 1, 1 = d + , and, following Conrad and Haag (2006), i = i 1 + (fi )( gi 1) i > 1, where fj = (j 1 d)=j, for j = 1; 2; ::: and gj = fj gj 1.”
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, unknown): “See the proof in Conrad and Haag (2006) for FIGARCH models which directly applies to the mean specification of the long memory (Double) Poisson.”
Practical Issues in the Analysis of Univariate GARCH Models (2009, background): “See [72] and [23] for more general conditions.”
Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency (2012, unknown): “In addition, for the conditional variance to be non-negative almost surely for all n, the parameter combination (¯, d, Á) has to satisfy the inequality constraints derived in Conrad (2007) and Conrad and Haag (2006).”
NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL (2009, methodology): “3Non-negativity conditions for the fractionally integrated GARCH (FIGARCH) and the hyperbolic GARCH model can be found in Conrad and Haag (2006) and Conrad (2007) respectively.”
Non-Negativity Conditions for the Hyperbolic GARCH Model (2010, unknown): “We extend the results of Nelson and Cao (1992) and Conrad and Haag (2006) by deriving necessary and sufficient conditions which ensure the non-negativity of the conditional variance in the HYGARCH model of the order p ≤ 2 and sufficient conditions for the general model.”