Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

By Christian Francq, Jean-Michel Zakoian. 2012

75 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f731df82a3f99c8ed3891794c3ef2aaac1b7d46d

Citations in the corpus

• Multivariate Variance Targeting in the BEKK-GARCH Model (2014, unknown): “…in the multivariate BEKK model are similarly in contrast to the very mild conditions found for univariate GARCH models, see e.g. Jensen and Rahbek (2004) and Francq and Zakoïan (2012) who find that asymptotic inference in the GARCH model is feasible even if the observed process is explosive.”