Stationarity and the existence of moments of a family of GARCH processes

By S. Ling, Michael Mcaleer. 2002

356 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d1201639c4a62eac0bf85e658836b3b353884cec

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Citations in the corpus

Extreme Value Theory for GARCH Processes (2009, methodology): “a simple moment calculation involving Minkowski’s inequality and representation (3) for Yt = ae2 t imply that E(jXj2•) = E(jZj2•)E(ae2•) 28 ] and have been extended to GARCH and AGARCH models in Ling and McAleer [29].”
Inference in VARs with Conditional Heteroskedasticity of Unknown Form (2016, background): “Hence, one can focus on verifying whether the 8-th moment of a GARCH process exists for given GARCH parameters and the conditional distribution, compare Ling & McAleer (2002), Lindner (2009).”
New frontiers for arch models (2002, background): “A very recent survey is Li, Ling and McAleer(2002) Another topic for ARCH models is their usefulness in trading options.”
Beta-t-(E)GARCH (2008, background): “…(17) is given by e dtpt 1 = a(zt 1) + c(zt 1)e dt 1pt 2 In (36), d = 2; a(zt 1) = and c(zt 1) = + ut 1: From He and Terasvirta (1999), yt is second-order stationary if > 2 and E( + ut 1) = < 1: Furthermore the series is strictly stationary and ergodic; see also theorem 1 in Ling and McAleer (2002).”
Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model (2009, unknown): “The unconditional kurtosis of the the NIG-ACD and ACD models must be treated with caution since these models are outside the family of models considered in Ling and McAleer (2002) as well as in Meitz and Saikkonen (2008).”
Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model (2008, methodology): “The primary purpose of the structural and asymptotic theory derived in Ling and McAleer (2003) is to demonstrate that such testing is statistically valid.”
GARCH Models (2010, unknown): “The necessary and sufficient condition for the existence of even-order moments was established by Ling and McAleer (2002a), the sufficient part having been obtained by Chen and An (1998).”
Single Index and Portfolio Models for Forecasting Value-at-Risk Thresholds * (2008, methodology): “Ling and McAleer (2002a) derived the necessary and sufficient conditions for the moments to exist for PGARCH.”
Recent Advances in ARCH Modelling (2007, background): “For necessary and sufficient conditions of the existence of high order moments for the family of GARCH processes see Ling and McAleer (2002a, 2002b ). t allows to directly study its summability and decay properties.”