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Econometric Reviews Volume 30, 2011 - Issue 2
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Original Articles

Estimation and Asymptotic Inference in the AR-ARCH Model

Theis Lange Department of Economics, University of Copenhagen & CREATES, Copenhagen, Denmark
,
Anders Rahbek Department of Economics, University of Copenhagen & CREATES, Copenhagen, DenmarkCorrespondence[email protected]
&
Søren Tolver Jensen Department of Mathematical Sciences, University of Copenhagen, Copenhagen, Denmark
Pages 129-153 | Published online: 24 Jan 2011

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Huan Gong. (2021) Oracally efficient estimation and testing for an ARCH model with trend. Communications in Statistics - Theory and Methods 50:14, pages 3384-3402.
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Articles from other publishers (16)

Giuseppe Cavaliere, Ye Lu, Anders Rahbek & Jacob Stærk-Østergaard. (2023) Bootstrap inference for Hawkes and general point processes. Journal of Econometrics 235:1, pages 133-165.
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Davide Viviano & Jelena Bradic. (2023) Synthetic Learner: Model-free inference on treatments over time. Journal of Econometrics 234:2, pages 691-713.
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Eunju Hwang. (2021) Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations. Mathematics 9:8, pages 816.
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Giuseppe Cavaliere & Anders Rahbek. (2020) A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS. Econometric Theory 37:1, pages 1-48.
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Haitao Huang, Xuan Leng, Xiaohui Liu & Liang Peng. (2019) Unified Inference for an AR Process Regardless of Finite or Infinite Variance GARCH Errors*. Journal of Financial Econometrics.
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Marie Hušková, Natalie Neumeyer, Tobias Niebuhr & Leonie Selk. (2018) Specification testing in nonparametric AR‐ARCH models. Scandinavian Journal of Statistics 46:1, pages 26-58.
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Giuseppe Cavaliere, Heino Bohn Nielsen & Anders Rahbek. (2017) On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space. Journal of Time Series Analysis 38:4, pages 513-534.
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Rongmao Zhang & Shiqing Ling. (2014) ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES. Econometric Theory 31:4, pages 880-890.
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Heino Bohn Nielsen & Anders Rahbek. (2014) Unit root vector autoregression with volatility induced stationarity. Journal of Empirical Finance 29, pages 144-167.
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Rasmus S. Pedersen & Anders Rahbek. (2014) Multivariate variance targeting in the BEKK-GARCH model. The Econometrics Journal 17:1, pages 24-55.
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Yulia Burkatovskaya, Ekaterina Sergeeva & Sergei Vorobeychikov. 2014. Information Technologies and Mathematical Modelling. Information Technologies and Mathematical Modelling 59 68 .
Ke Zhu & Shiqing Ling. (2011) Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models. The Annals of Statistics 39:4.
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Giuseppe Cavaliere & Anders Rahbek. (2019) A Primer on Bootstrap Testing of Hypotheses in Time Series Models: With an Application to Double Autoregressive Models. SSRN Electronic Journal.
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Michele Caivano & Andrew Harvey. (2014) Time Series Models with an EGB2 Conditional Distribution. SSRN Electronic Journal.
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Anders Rahbek & Heino Bohn Nielsen. (2012) Unit Root Vector Autoregression with Volatility Induced Stationarity. SSRN Electronic Journal.
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Mika Meitz & Pentti Saikkonen. (2008) Parameter Estimation in Nonlinear AR-GARCH Models. SSRN Electronic Journal.
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