ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
By István Berkes, Lajos Horv'ath, Piotr Kokoszka. Econometric Theory, 2003
52 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/c626ec013fe394888cff7314359199a4db09de05
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Remigijus Leipus
- Liudas Giraitis
- Donatas Surgailis
- Piotr Fryzlewicz
- S. Rao
- A. Lindner
- Lajos Horv'ath
- Peter M. Robinson
In Finance
- Donatas Surgailis
- Liudas Giraitis
- Remigijus Leipus
- A. Lindner
- S. Rao
- Piotr Fryzlewicz
- Gilles Teyssière
- Lajos Horv'ath
In Statistics and Probability
Citations in the corpus
- GARCH Models (2010, unknown): “It is now well known that tools generally used for the identification of ARMA models should not be directly used in presence of conditional heteroscedasticity, or other forms of dependence in the linear innovation process (see, for instance, Diebold, 1986; Romano and Thombs, 1996; Berlinet and Franc”
- Recent Advances in ARCH Modelling (2007, methodology): “On the other hand, the νt’s are not independent, meaning that “higher order” dependence and distributional properties of (14) may be very different from the usual moving average in i.”