{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T11:19:52Z","timestamp":1791890392355,"version":"4.3.4"},"reference-count":78,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2014,8,26]],"date-time":"2014-08-26T00:00:00Z","timestamp":1409011200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2015,4]]},"abstract":"<jats:p>Volatility component models have received considerable attention recently, not only because of their ability to capture complex dynamics via a parsimonious parameter structure, but also because it is believed that they can handle well structural breaks or nonstationarities in asset price volatility. This paper revisits component volatility models from a statistical perspective and attempts to explore the stationarity of the underlying processes. There is a clear need for such an analysis, since any discussion about nonstationarity presumes we know when component models are stationary. As it turns out, this is not the case and the purpose of the paper is to rectify this. We also look into the sampling behavior of the maximum likelihood estimates of recently proposed volatility component models and establish their consistency and asymptotic normality.<\/jats:p>","DOI":"10.1017\/s0266466614000334","type":"journal-article","created":{"date-parts":[[2014,8,26]],"date-time":"2014-08-26T07:33:46Z","timestamp":1409038426000},"page":"362-393","source":"Crossref","is-referenced-by-count":53,"title":["ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS"],"prefix":"10.1017","volume":"31","author":[{"given":"Fangfang","family":"Wang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Eric","family":"Ghysels","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2014,8,26]]},"reference":[{"key":"S0266466614000334_ref78","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-7152(00)00206-6"},{"key":"S0266466614000334_ref76","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600011397"},{"key":"S0266466614000334_ref74","doi-asserted-by":"publisher","DOI":"10.1214\/009053606000000803"},{"key":"S0266466614000334_ref73","doi-asserted-by":"publisher","DOI":"10.1007\/0-387-32792-4"},{"key":"S0266466614000334_ref70","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1016\/0304-4149(86)90042-6","article-title":"The mixing property of bilinear and generalised random coefficient autoregressive models","volume":"23","author":"Pham","year":"1986","journal-title":"Stochastic Processes and their Applications"},{"key":"S0266466614000334_ref69","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(85)90216-9"},{"key":"S0266466614000334_ref68","doi-asserted-by":"publisher","DOI":"10.1007\/BF02613654"},{"key":"S0266466614000334_ref66","doi-asserted-by":"publisher","DOI":"10.1007\/BF01464284"},{"key":"S0266466614000334_ref65","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600005296"},{"key":"S0266466614000334_ref64","first-page":"219","article-title":"Propri\u00e9t\u00e9s de m\u00e9lange des processus autor\u00e9gressifs polynomiaux","volume":"26","author":"Mokkadem","year":"1990","journal-title":"Annales de l\u2019Institut Henri Poincar\u00e9 (B) Probabilit\u00e9s et statistiques"},{"key":"S0266466614000334_ref63","doi-asserted-by":"publisher","DOI":"10.1137\/0329031"},{"key":"S0266466614000334_ref58","first-page":"135","article-title":"Estimating local Lyapunov exponents","volume":"11","author":"Lu","year":"1997","journal-title":"Fields Institute Communications"},{"key":"S0266466614000334_ref57","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_2"},{"key":"S0266466614000334_ref55","doi-asserted-by":"publisher","DOI":"10.1214\/009053605000000534"},{"key":"S0266466614000334_ref54","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.2008.00603.x"},{"key":"S0266466614000334_ref53","doi-asserted-by":"publisher","DOI":"10.2307\/3318673"},{"key":"S0266466614000334_ref52","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176996798"},{"key":"S0266466614000334_ref50","first-page":"913","article-title":"Use of cumulative sums of squares for retrospective detection of changes of variance","volume":"89","author":"Inclan","year":"1994","journal-title":"Journal of the American Statistical Association"},{"key":"S0266466614000334_ref49","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060191"},{"key":"S0266466614000334_ref75","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.81.036701"},{"key":"S0266466614000334_ref48","doi-asserted-by":"crossref","first-page":"445","DOI":"10.1214\/aos\/1009210548","article-title":"Empirical process of the squared residuals of an ARCH sequence","volume":"29","author":"Horvath","year":"2001","journal-title":"Annals of Statistics"},{"key":"S0266466614000334_ref47","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00089-X"},{"key":"S0266466614000334_ref45","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.11.004"},{"key":"S0266466614000334_ref43","doi-asserted-by":"publisher","DOI":"10.2307\/3215199"},{"key":"S0266466614000334_ref40","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.03.008"},{"key":"S0266466614000334_ref39","volume-title":"The MIDAS Touch: Mixed Data Sampling Regression Models","author":"Ghysels","year":"2004"},{"key":"S0266466614000334_ref38","unstructured":"Ghysels E . (2013) Matlab toolbox for MIDAS regressions. Available at http:\/\/www.unc.edu\/~eghysels."},{"key":"S0266466614000334_ref36","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177705909"},{"key":"S0266466614000334_ref34","doi-asserted-by":"publisher","DOI":"10.1002\/9780470670057"},{"key":"S0266466614000334_ref32","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060373"},{"key":"S0266466614000334_ref30","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00300"},{"key":"S0266466614000334_ref26","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00009-2"},{"key":"S0266466614000334_ref25","unstructured":"Dorion C . (2010) Business Conditions, Market Volatility and Option Prices. Discussion paper, HEC Montreal Working paper."},{"key":"S0266466614000334_ref24","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01737-2"},{"key":"S0266466614000334_ref23","doi-asserted-by":"publisher","DOI":"10.1214\/009053606000000227"},{"key":"S0266466614000334_ref22","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176993291"},{"key":"S0266466614000334_ref19","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.04.004"},{"key":"S0266466614000334_ref14","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176989526"},{"key":"S0266466614000334_ref44","doi-asserted-by":"publisher","DOI":"10.1007\/BFb0086655"},{"key":"S0266466614000334_ref62","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"key":"S0266466614000334_ref6","unstructured":"Basrak B. , Davis R. , & Mikosch T. (2001) Sample ACF of multivariate stochastic recurrence equations with application to GARCH. Preprint, Available at www.math.ku.dk\/mikosch."},{"key":"S0266466614000334_ref10","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"S0266466614000334_ref29","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn004"},{"key":"S0266466614000334_ref27","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"S0266466614000334_ref1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2008.01419.x"},{"key":"S0266466614000334_ref72","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02647.x"},{"key":"S0266466614000334_ref35","doi-asserted-by":"publisher","DOI":"10.1090\/S0002-9947-1963-0163345-0"},{"key":"S0266466614000334_ref5","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq014"},{"key":"S0266466614000334_ref61","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080511"},{"key":"S0266466614000334_ref60","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbm012"},{"key":"S0266466614000334_ref51","first-page":"363","article-title":"Convergence in distribution of products of random matrices","volume":"67","author":"Kesten","year":"1984","journal-title":"Probability Theory and Related Fields"},{"key":"S0266466614000334_ref33","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_4"},{"key":"S0266466614000334_ref41","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.004"},{"key":"S0266466614000334_ref3","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"S0266466614000334_ref17","unstructured":"Chauvet M. , Senyuz Z. , & Yoldas E. (2010) What Does Realized Volatility Tell Us About Macroeconomic Fluctuations? Discussion paper, Working paper, University of California, Riverside."},{"key":"S0266466614000334_ref7","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2280"},{"key":"S0266466614000334_ref16","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466602181023"},{"key":"S0266466614000334_ref77","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00047-5"},{"key":"S0266466614000334_ref15","doi-asserted-by":"publisher","DOI":"10.2307\/1427243"},{"key":"S0266466614000334_ref37","volume-title":"A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models","author":"Gallant","year":"1988"},{"key":"S0266466614000334_ref28","doi-asserted-by":"crossref","first-page":"475","DOI":"10.1093\/oso\/9780198296836.003.0020","volume-title":"Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive WJ Granger","author":"Engle","year":"1999"},{"key":"S0266466614000334_ref18","first-page":"505","article-title":"A note on the stationarity and the existence of moments of the GARCH model","volume":"8","author":"Chen","year":"1998","journal-title":"Statistica Sinica"},{"key":"S0266466614000334_ref59","doi-asserted-by":"publisher","DOI":"10.2307\/2171862"},{"key":"S0266466614000334_ref67","first-page":"131","article-title":"Domains of analytic continuation for the top Lyapunov exponent","volume":"28","author":"Peres","year":"1992","journal-title":"Annales de l\u2019Institut Henri Poincar\u00e9 (B) Probabilit\u00e9s et statistiques"},{"key":"S0266466614000334_ref71","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.10.009"},{"key":"S0266466614000334_ref4","doi-asserted-by":"publisher","DOI":"10.1002\/jae.684"},{"key":"S0266466614000334_ref20","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1997.10474026"},{"key":"S0266466614000334_ref42","doi-asserted-by":"publisher","DOI":"10.1080\/07474930600972467"},{"key":"S0266466614000334_ref46","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.04.007"},{"key":"S0266466614000334_ref31","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1093265632"},{"key":"S0266466614000334_ref56","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008215"},{"key":"S0266466614000334_ref9","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1068128975"},{"key":"S0266466614000334_ref2","doi-asserted-by":"publisher","DOI":"10.1002\/for.2256"},{"key":"S0266466614000334_ref8","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466604206041"},{"key":"S0266466614000334_ref11","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"S0266466614000334_ref12","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176992256"},{"key":"S0266466614000334_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90067-2"},{"key":"S0266466614000334_ref21","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00108-8"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466614000334","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,1]],"date-time":"2024-06-01T22:34:23Z","timestamp":1717281263000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466614000334\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,8,26]]},"references-count":78,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2015,4]]}},"alternative-id":["S0266466614000334"],"URL":"https:\/\/doi.org\/10.1017\/s0266466614000334","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,8,26]]}}}