Detailed Information
Cited 0 time in 
Cited 29 time in 
Cited 29 time in
Metadata Downloads
Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure
- Issue Date
- Apr-2004
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- ergodicity; threshold ARCH; power transformation; tests for ARCH structure; semiparametric tests
- Citation
- STOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.110, no.2, pp 295 - 314
- Pages
- 20
- Journal Title
- STOCHASTIC PROCESSES AND THEIR APPLICATIONS
- Volume
- 110
- Number
- 2
- Start Page
- 295
- End Page
- 314
- ISSN
- 0304-4149
1879-209X
- Abstract
- A new class of power-transformed threshold ARCH models is proposed as a threshold-asymmetric generalization of the nonlinear ARCH considered by Higgins and Bera. [Internat. Econom. Rev. 33 (1992) 137]. This class is rich enough to include diverse nonlinear and non-symmetric ARCH models which have been spelled out in the literature. Geometric ergodicity of the model and existence of stationary moments are studied. The model facilitates discussing ARCH structures and hence large sample tests for ARCH structures are investigated via local asymptotic normality approach. Semiparametric tests are also discussed for the case when the error density is unknown. (C) 2003 Elsevier B.V. All rights reserved.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - 이과대학 > 통계학과 > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.