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 …

Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …

The interplay between the stock market and the real economy is crucial in the various
channels through which financial markets drive economic growth. In the current study, we …

This paper investigates the asymptotic theory for a vector autoregressive moving average–
generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The …

We prove the strong consistency and asymptotic normality of the quasi-maximum likelihood
estimator of the parameters of pure generalized autoregressive conditional heteroscedastic …

We provide in this paper asymptotic theory for the multivariate GARCH (p, q) process. Strong
consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to …

In this paper we propose a generalised autoregressive conditional heteroskedasticity
(GARCH) model-based test for a unit root. The model allows for two endogenous structural …

Many economic theories depend on the presence or absence of a unit root for their validity,
and econometric and statistical theory undergo considerable changes when unit roots are …

This paper considers adaptive estimation in nonstationary autoregressive moving average
models with the noise sequence satisfyinga generalized autoregressive conditional …

We propose a new and easy-to-use method for identifying cointegrated components of
nonstationary time series, consisting of an eigenanalysis for a certain nonnegative definite …