Reconsidering Moments-Based Estimators for ARCH Processes

2014 ◽  
Author(s):  
Todd Prono
Keyword(s):  
Arch Processes

Robust estimates for arch processes

2002 ◽  
Vol 23 (3) ◽  
pp. 341-375 ◽  
Author(s):  
NORA MULER ◽  
VICTOR J. YOHAI
Keyword(s):  
Robust Estimates ◽  
Arch Processes

Option pricing with realistic ARCH processes

2013 ◽  
Vol 14 (1) ◽  
pp. 143-170 ◽  
Author(s):  
Gilles Zumbach ◽  
Luis Fernández
Keyword(s):  
Option Pricing ◽  
Arch Processes

scholarly journals Functional ARCH and GARCH Models: A Yule-Walker Approach

2020 ◽  
Author(s):  
Sebastian Kühnert
Keyword(s):  
Financial Time Series ◽  
Sufficient Conditions ◽  
Stationary Solutions ◽  
Garch Models ◽  
Estimation Errors ◽  
Linear Processes ◽  
Financial Time ◽  
Finite Dimensional ◽  
Arch Processes ◽  
Finite Moments

Conditional heteroskedastic financial time series are commonly modelled by (G)ARCH processes. ARCH(1) and GARCH were recently established in C[0,1] and L^2[0,1]. This article provides sufficient conditions for the existence of strictly stationary solutions, weak dependence and finite moments of (G)ARCH processes for any order in C[0,1] and L^p[0,1]. It deduces explicit asymptotic upper bounds of estimation errors for the shift term, the complete (G)ARCH operators and the projections of ARCH operators on finite-dimensional subspaces. The operator estimaton is based on Yule-Walker equations, and estimating the GARCH operators also involves a result estimating operators in invertible linear processes being valid beyond the scope of (G)ARCH. Moreover, our results regarding (G)ARCH can be transferred to functional AR(MA).

Option pricing and ARCH processes

2012 ◽  
Vol 9 (3) ◽  
pp. 144-156 ◽  
Author(s):  
Gilles Zumbach
Keyword(s):  
Option Pricing ◽  
Arch Processes

scholarly journals Time series properties of ARCH processes with persistent covariates

2008 ◽  
Vol 146 (2) ◽  
pp. 275-292 ◽  
Author(s):  
Heejoon Han ◽  
Joon Y. Park
Keyword(s):  
Time Series ◽  
Arch Processes
Sign in / Sign up

Export Citation Format

Share Document