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Results 1 - 10
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573
Generalized Autoregressive Conditional Heteroskedasticity
- JOURNAL OF ECONOMETRICS
, 1986
"... A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametri ..."
Abstract
-
Cited by 2406 (30 self)
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A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class
Complementarity Constraint Qualifications and Simplified B-Stationarity Conditions for Mathematical Programs with Equilibrium Constraints
, 1998
"... With the aid of some novel complementarity constraint qualifications, we derive some simplied primal-dual characterizations of a B-stationary point for a mathematical program with complementarity constraints (MPEC). The approach is based on a locally equivalent piecewise formulation of such a prog ..."
Abstract
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Cited by 31 (6 self)
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program near a feasible point. The simplied results, which rely heavily on a careful dissection and improved understanding of the tangent cone of the feasible region of the program, bypass the combinatorial characterization that is intrinsic to B-stationarity.
STRONG STATIONARITY CONDITIONS FOR A CLASS OF OPTIMIZATION PROBLEMS GOVERNED BY VARIATIONAL INEQUALITIES OF THE 2ND KIND
, 2014
"... We investigate optimality conditions for optimization problems constrained by a class of variational inequalities of the second kind. Based on a nonsmooth primal-dual reformulation of the governing inequality, the differentiability of the solution map is studied. Directional differentiability is p ..."
Abstract
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Cited by 2 (0 self)
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We investigate optimality conditions for optimization problems constrained by a class of variational inequalities of the second kind. Based on a nonsmooth primal-dual reformulation of the governing inequality, the differentiability of the solution map is studied. Directional differentiability
Perfect Simulation and Stationarity of a Class of Mobility Models
- in IEEE Infocom
, 2005
"... Abstract — We define “random trip", a generic mobility model for independent mobiles that contains as special cases: the random waypoint on convex or non convex domains, random walk with reflection or wrapping, city section, space graph and other models. We use Palm calculus to study the model ..."
Abstract
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Cited by 106 (3 self)
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and give a necessary and sufficient condition for a stationary regime to exist. When this condition is satisfied, we compute the stationary regime and give an algorithm to start a simulation in steady state (perfect simulation). The algorithm does not require the knowledge of geometric constants
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS
"... Abstract We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover ..."
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Abstract We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains
Wavelet Analysis of Long Range Dependent Traffic
- IEEE TRANSACTIONS ON INFORMATION THEORY
, 1998
"... A Wavelet based tool for the analysis of long range dependence is introduced and a related semiparametric estimator of the Hurst parameter. The estimator is shown to be unbiased under very general conditions, and efficient under Gaussian assumptions. It can be implemented very efficiently allowing t ..."
Abstract
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Cited by 268 (22 self)
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A Wavelet based tool for the analysis of long range dependence is introduced and a related semiparametric estimator of the Hurst parameter. The estimator is shown to be unbiased under very general conditions, and efficient under Gaussian assumptions. It can be implemented very efficiently allowing
Stationarity and the Existence of Moments of a
, 2001
"... This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for the existence of the αδ-order sta-tionary solution of the processes is derived, where α ∈ (0, 1] and δ> 0. The solution is strictly stationary and ergodic, and the causal expansion ..."
Abstract
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Cited by 1 (1 self)
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that the process started at some finite value infinitely many periods ago. Moreover, the condi-tions for the strict stationarity of the model and the existence of its moments are simple to check and should prove useful in practice. JEL classification: C22, C51
Testing for Stationarity in Time Series.
"... This paper considers a class of nonparametric autoregressive processes and then a class of nonparametric time series regression models with a nonstationary regressor. For the autoregression case, we propose a nonparametric unit–root test for the conditional mean. For the nonparametric time series re ..."
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This paper considers a class of nonparametric autoregressive processes and then a class of nonparametric time series regression models with a nonstationary regressor. For the autoregression case, we propose a nonparametric unit–root test for the conditional mean. For the nonparametric time series
Imposing Necessary Conditions for Stationarity on ARCH and GARCH Models
, 2007
"... In their seminal papers on ARCH and GARCH models, Engle (1982) and Bollerslev (1986) speci ed parametric constraints that were su ¢ cient but not necessary for positivity and sta-tionarity of the estimated conditional variance function. Incorporating these constraints into the estimation process yie ..."
Abstract
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In their seminal papers on ARCH and GARCH models, Engle (1982) and Bollerslev (1986) speci ed parametric constraints that were su ¢ cient but not necessary for positivity and sta-tionarity of the estimated conditional variance function. Incorporating these constraints into the estimation process
Results 1 - 10
of
573
