Recent theoretical results for time series models with GARCH errors

Wai Keung LI; Shiqing LING; Michael MCALEER

doi:10.1111/1467-6419.00169

Recent theoretical results for time series models with GARCH errors

Wai Keung LI
, Shiqing LING
, Michael MCALEER

Department of Mathematics and Information Technology (MIT)

Research output: Contribution to journal › Articles › peer-review

180 Citations (Scopus)

Abstract

This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA–GARCH are summarized. Various new ARCH–type models, including double threshold ARCH and GARCH, ARFIMA–GARCH, CHARMA and vector ARMA–GARCH, are also reviewed. Copyright © 2002 Blackwell Publishers Ltd.

Original language	English
Pages (from-to)	245-269
Journal	Journal of Economic Surveys
Volume	16
Issue number	3
DOIs	https://doi.org/10.1111/1467-6419.00169
Publication status	Published - Jul 2002

Access to Document

10.1111/1467-6419.00169

Other files and links

@article{364d354716994e3694412e641c3c2402,

title = "Recent theoretical results for time series models with GARCH errors",

abstract = "This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA–GARCH are summarized. Various new ARCH–type models, including double threshold ARCH and GARCH, ARFIMA–GARCH, CHARMA and vector ARMA–GARCH, are also reviewed. Copyright {\textcopyright} 2002 Blackwell Publishers Ltd.",

author = "LI, \{Wai Keung\} and Shiqing LING and Michael MCALEER",

year = "2002",

month = jul,

doi = "10.1111/1467-6419.00169",

language = "English",

volume = "16",

pages = "245--269",

journal = "Journal of Economic Surveys",

issn = "0950-0804",

publisher = "Wiley-Blackwell Publishing Ltd",

number = "3",

}

TY - JOUR

T1 - Recent theoretical results for time series models with GARCH errors

AU - LI, Wai Keung

AU - LING, Shiqing

AU - MCALEER , Michael

PY - 2002/7

Y1 - 2002/7

N2 - This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA–GARCH are summarized. Various new ARCH–type models, including double threshold ARCH and GARCH, ARFIMA–GARCH, CHARMA and vector ARMA–GARCH, are also reviewed. Copyright © 2002 Blackwell Publishers Ltd.

AB - This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA–GARCH are summarized. Various new ARCH–type models, including double threshold ARCH and GARCH, ARFIMA–GARCH, CHARMA and vector ARMA–GARCH, are also reviewed. Copyright © 2002 Blackwell Publishers Ltd.

UR - http://ezproxy.eduhk.hk/login?url=https://doi.org/10.1111/1467-6419.00169

UR - https://www.scopus.com/pages/publications/0036077158

U2 - 10.1111/1467-6419.00169

DO - 10.1111/1467-6419.00169

M3 - Articles

SN - 0950-0804

VL - 16

SP - 245

EP - 269

JO - Journal of Economic Surveys

JF - Journal of Economic Surveys

IS - 3

ER -

Recent theoretical results for time series models with GARCH errors

Abstract

Access to Document

Other files and links

Fingerprint