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Article: Recent theoretical results for time series models with GARCH errors

TitleRecent theoretical results for time series models with GARCH errors
Authors
Li, WKLing, SMcAleer, M
Issue Date2002
PublisherBlackwell Publishing Ltd.
Citation
Journal Of Economic Surveys, 2002, v. 16 n. 3, p. 245-270 How to Cite?
DOI: http://dx.doi.org/10.1111/1467-6419.00169
AbstractThis 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.
Persistent Identifierhttp://hdl.handle.net/10722/83011
ISSN
0950-0804
2021 Impact Factor: 4.142
2020 SCImago Journal Rankings: 1.657
ISI Accession Number ID
WOS:000176890000002
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLi, WKen_HK
dc.contributor.authorLing, Sen_HK
dc.contributor.authorMcAleer, Men_HK
dc.date.accessioned2010-09-06T08:35:55Z-
dc.date.available2010-09-06T08:35:55Z-
dc.date.issued2002en_HK
dc.identifier.citationJournal Of Economic Surveys, 2002, v. 16 n. 3, p. 245-270en_HK
dc.identifier.issn0950-0804en_HK
dc.identifier.urihttp://hdl.handle.net/10722/83011-
dc.description.abstractThis 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.en_HK
dc.languageengen_HK
dc.publisherBlackwell Publishing Ltd.en_HK
dc.relation.ispartofJournal of Economic Surveysen_HK
dc.rightsJournal of Economic Surveys. Copyright © Blackwell Publishing Ltd.en_HK
dc.titleRecent theoretical results for time series models with GARCH errorsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0950-0804&volume=16&issue=3&spage=245&epage=269&date=2002&atitle=Recent+theoretical+results+for+time+series+models+with+Garch+errorsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/1467-6419.00169-
dc.identifier.scopuseid_2-s2.0-0036077158en_HK
dc.identifier.hkuros74962en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0036077158&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume16en_HK
dc.identifier.issue3en_HK
dc.identifier.spage245en_HK
dc.identifier.epage270en_HK
dc.identifier.isiWOS:000176890000002-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridLing, S=7102701223en_HK
dc.identifier.scopusauthoridMcAleer, M=24370074800en_HK
dc.identifier.issnl0950-0804-

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