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Christian M. Hafner and Oliver Linton
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We sugge...Read more...
Woocheol Kim and Oliver Linton
We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an...Read more...
Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and for any specification of the conditional second moment coefficients. GARCH(p,q) as well as the case o...Read more...
We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH...Read more...
Andrew C Harvey and Mariane Streibel
A test for the presence of a stationary first-order autoregressive process embedded in white noise is constructed so as to be relatively powerful when the autoregressive parameter is close to one. This is done by setting...Read more...