Arbeitspapier
Structure and asymptotic theory for STAR(1)-GARCH(1,1) models
Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little theoretical or statistical analysis associated with the structure of the processes or the associated asymptotic theory. In this paper we derive necessary and sufficient conditions for strict stationarity and ergodicity of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of moments. This is important, among others, to establish the conditions under which the traditional LM linearity tests based on Taylor expansions are valid. Finally, we provide sufficient conditions for consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator.
- Sprache
-
Englisch
- Erschienen in
-
Series: Texto para discussão ; No. 506
- Klassifikation
-
Wirtschaft
- Thema
-
Nonlinear time series
regime-switching
STAR
GARCH
log-moment
moment conditions
asymptotic theory
Zeitreihenanalyse
ARCH-Modell
Nichtlineare Regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chan, Felix
McAleer, Michael
Medeiros, Marcelo C.
- Ereignis
-
Veröffentlichung
- (wer)
-
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (wo)
-
Rio de Janeiro
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chan, Felix
- McAleer, Michael
- Medeiros, Marcelo C.
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Entstanden
- 2005
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