no. 4
Instability and long memory in conditional variances
Journal de la Société de statistique de Paris, Tome 138 (1997) no. 4, pp. 67-88 
@article{JSFS_1997__138_4_67_0,
     author = {Maule\'on, Ignacio},
     title = {Instability and long memory in conditional variances},
     journal = {Journal de la Soci\'et\'e de statistique de Paris},
     pages = {67--88},
     year = {1997},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {138},
     number = {4},
     language = {en},
     url = {https://www.numdam.org/item/JSFS_1997__138_4_67_0/}
}
TY  - JOUR
AU  - Mauleón, Ignacio
TI  - Instability and long memory in conditional variances
JO  - Journal de la Société de statistique de Paris
PY  - 1997
SP  - 67
EP  - 88
VL  - 138
IS  - 4
PB  - Société de statistique de Paris
UR  - https://www.numdam.org/item/JSFS_1997__138_4_67_0/
LA  - en
ID  - JSFS_1997__138_4_67_0
ER  - 
%0 Journal Article
%A Mauleón, Ignacio
%T Instability and long memory in conditional variances
%J Journal de la Société de statistique de Paris
%D 1997
%P 67-88
%V 138
%N 4
%I Société de statistique de Paris
%U https://www.numdam.org/item/JSFS_1997__138_4_67_0/
%G en
%F JSFS_1997__138_4_67_0
Mauleón, Ignacio. Instability and long memory in conditional variances. Journal de la Société de statistique de Paris, Tome 138 (1997) no. 4, pp. 67-88. https://www.numdam.org/item/JSFS_1997__138_4_67_0/

Bourgoin F. et Prieul D., (1997) " Estimation de diffusion à volatilité stochastique et application au taux d'intérêt à court terme français", Journal de la Société de Statistique de Paris, tome 138, n°4, pp. 43-66.

Cai J. (1994) " A Markow Model of Switching-Regime ARCH", Journal of Business and Economic Statistics, July 1994, vol. 12, N° 3, pp. 309-316.

Davidson J. (1992) " A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes", Econometric Theory, 8, pp. 313-329. | MR

Ding Z., Granger C. et Engle R. (1993) " A Long Memory Model of Stock Market Returns and a New Model", Journal of Empirical Finance, 1, pp. 107-131.

Engle R. et Bollerslev T. (1986) " Modelling the Persistence of Conditional Variances", Econometric Reviews, 5, pp. 1-50. | Zbl | MR

Gallant R. et Nychka D. (1987) " Seminonparametric Maximum Likelihood Estimation", Econometrica, 55, pp. 363-390. | Zbl | MR

Goodhart C. et O'Hara M. (1996) " High Frequency Data in Financial Markets : Issues and Applications", Journal of Empirical Finance, (forthcoming).

Hamilton J. (1994) " Time Series Analysis", Princeton. | Zbl | MR

Hansen B. (1995) " Regression with Nonstationary Volatility", Econometrica, Vol. 63, N° 5, pp. 1113-1132. | Zbl | MR

Harvey A. et Robinson P. (1991) " Efficient Estimation of Nonstationary Time Series Regression", Journal of Time Series Analysis, 9, pp. 201-214. | Zbl | MR

Kendall M. et Stuart A. (1977) The Advanced Theory of Statistics, Griffith & Co., London, 4th ed.

Lastrapes W . (1989) " Exchange Rate Volatility and U.S. Monetary Policy : an ARCH Application", Journal of Money, Credit and Banking, Vol. 21, N° 1, pp. 66-77.

Lamoureux C.H. et Lastrapes W. (1990) " Persistence in Variance, Structural Change, and the GARCH Model", Journal of Business and Economic Statistics, Vol. 8, N° 2, pp. 225-234.

Mauleón I. (1983) Approximations to the Finite Sample Distribution of Econometric Chi. Squared Criteria, Ph.D. dissertation, London School of Economics.

Mauleón I. et Perote J. (1997) " Testing Densities with Financial Data : an Empirical Comparison of the Edgeworth-Sargan Density to the Student's t", Proceedings of the Forecasting Financial Markets conference, Imperial College, London.

Nelson D. (1991) " Conditional Heteroskedasticity in Asset Returns : a New Approach", Econometrica, 59, pp. 347-370. | Zbl | MR

Pagan A. et Schwert G. ( 1990a) " Alternative Models for Conditional Stock Volatility", Journal of Econometrics, 45, pp. 267-290.

Pagan A. et Schwert G. ( 1990b) " Testing for Covariance Stationarity in Stock Market Data", Economics Letters, 33, pp. 165-170.

Perron P. (1989) " The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis", Econometrica, 57, pp. 1361-1401. | Zbl

Phillips P. et Loretan M. (1994) " Testing the Covariance Stationarity of Heavy-Tailed Time Series", Journal of Empirical Finance, 1, pp. 211-248.

Phillips P. et Loretan M. (1995) " On the Theory of Testing Covariance Stationarity under Moment Condition Failure", in Advances in Econometric and Quantitative Economic, Eds. G. Maddala, P. Phillips, T. Srinivasan, Blackwell, Oxford, pp. 198-233.

Sargan J.D. (1976) " Econometric Estimators and the Edgeworth Approximation", Econometrica, 44, pp. 421-448. | Zbl | MR

Sowell F. (1992) " Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models", Journal of Econometrics, 8. | MR

Woolridge J . et White H. (1988) " Some Invariant Principles and Central Limit Theorems for Dependent Heterogeneous Processes", Econometric Theory, 4, pp. 210-230. | MR