Details about Mika Meitz

Access statistics for papers by Mika Meitz.

Last updated 2021-05-18. Update your information in the RePEc Author Service.

Short-id: pme81

Working Papers

2020

1. Subgeometrically ergodic autoregressions
   Papers, arXiv.org View citations (1)

2019

2. Subgeometric ergodicity and $\beta$-mixing
   Papers, arXiv.org

2018

3. A mixture autoregressive model based on Student's $t$-distribution
   Papers, arXiv.org
   Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2018) View citations (2)
4. Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
   See also Journal Article Testing identification via heteroskedasticity in structural vector autoregressive models, EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics (2021) View citations (11) (2021)

2017

5. Testing for observation-dependent regime switching in mixture autoregressive models
   Papers, arXiv.org View citations (2)
   See also Journal Article Testing for observation-dependent regime switching in mixture autoregressive models, Journal of Econometrics, Elsevier (2021) View citations (4) (2021)

2015

6. Identification and estimation of non-Gaussian structural vector autoregressions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
   See also Journal Article Identification and estimation of non-Gaussian structural vector autoregressions, Journal of Econometrics, Elsevier (2017) View citations (100) (2017)

2012

7. Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
   Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (2)
   See also Journal Article Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity, Journal of Multivariate Analysis, Elsevier (2013) View citations (11) (2013)
8. Testing for Predictability in a Noninvertible ARMA Model
   Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum
   Also in MPRA Paper, University Library of Munich, Germany (2012)

2010

9. A note on the geometric ergodicity of a nonlinear AR–ARCH model
   Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (3)
   See also Journal Article A note on the geometric ergodicity of a nonlinear AR-ARCH model, Statistics & Probability Letters, Elsevier (2010) View citations (2) (2010)
10. Parameter estimation in nonlinear AR–GARCH models
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (7)
    Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (3)
    Economics Working Papers, European University Institute (2008) View citations (3)
    See also Journal Article PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS, Econometric Theory, Cambridge University Press (2011) View citations (16) (2011)

2007

11. Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (9)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2007) View citations (4)
    See also Journal Article ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS, Econometric Theory, Cambridge University Press (2008) View citations (43) (2008)
12. Stability of nonlinear AR-GARCH models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (4)
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2006) View citations (4)
    See also Journal Article Stability of nonlinear AR‐GARCH models, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (17) (2008)

2005

13. A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
    See also Journal Article A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES, Econometric Theory, Cambridge University Press (2006) View citations (3) (2006)

2004

14. Evaluating models of autoregressive conditional duration
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    See also Journal Article Evaluating Models of Autoregressive Conditional Duration, Journal of Business & Economic Statistics, American Statistical Association (2006) View citations (57) (2006)

Journal Articles

2021

1. Testing for observation-dependent regime switching in mixture autoregressive models
   Journal of Econometrics, 2021, 222, (1), 601-624 View citations (4)
   See also Working Paper Testing for observation-dependent regime switching in mixture autoregressive models, Papers (2017) View citations (2) (2017)
2. Testing identification via heteroskedasticity in structural vector autoregressive models
   EconStor Open Access Articles and Book Chapters, 2021, 24, (1), 1-22 View citations (11)
   See also Working Paper Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models, Discussion Papers of DIW Berlin (2018) View citations (1) (2018)

2017

3. Identification and estimation of non-Gaussian structural vector autoregressions
   Journal of Econometrics, 2017, 196, (2), 288-304 View citations (100)
   See also Working Paper Identification and estimation of non-Gaussian structural vector autoregressions, CREATES Research Papers (2015) View citations (13) (2015)

2016

4. Gaussian mixture vector autoregression
   Journal of Econometrics, 2016, 192, (2), 485-498 View citations (25)

2015

5. A Gaussian Mixture Autoregressive Model for Univariate Time Series
   Journal of Time Series Analysis, 2015, 36, (2), 247-266 View citations (23)

2013

6. Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
   Journal of Multivariate Analysis, 2013, 114, (C), 227-255 View citations (11)
   See also Working Paper Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity, Koç University-TUSIAD Economic Research Forum Working Papers (2012) View citations (2) (2012)
7. Testing for Linear and Nonlinear Predictability of Stock Returns
   Journal of Financial Econometrics, 2013, 11, (4), 682-705 View citations (4)

2011

8. PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
   Econometric Theory, 2011, 27, (6), 1236-1278 View citations (16)
   See also Working Paper Parameter estimation in nonlinear AR–GARCH models, Koç University-TUSIAD Economic Research Forum Working Papers (2010) (2010)

2010

9. A note on the geometric ergodicity of a nonlinear AR-ARCH model
   Statistics & Probability Letters, 2010, 80, (7-8), 631-638 View citations (2)
   See also Working Paper A note on the geometric ergodicity of a nonlinear AR–ARCH model, Koç University-TUSIAD Economic Research Forum Working Papers (2010) View citations (3) (2010)

2008

10. ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
    Econometric Theory, 2008, 24, (5), 1291-1320 View citations (43)
    See also Working Paper Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models, Economics Series Working Papers (2007) View citations (9) (2007)
11. Stability of nonlinear AR‐GARCH models
    Journal of Time Series Analysis, 2008, 29, (3), 453-475 View citations (17)
    See also Working Paper Stability of nonlinear AR-GARCH models, Economics Series Working Papers (2007) View citations (5) (2007)

2006

12. A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
    Econometric Theory, 2006, 22, (5), 985-988 View citations (3)
    See also Working Paper A necessary and sufficient condition for the strict stationarity of a family of GARCH processes, SSE/EFI Working Paper Series in Economics and Finance (2005) View citations (1) (2005)
13. Evaluating Models of Autoregressive Conditional Duration
    Journal of Business & Economic Statistics, 2006, 24, 104-124 View citations (57)
    See also Working Paper Evaluating models of autoregressive conditional duration, SSE/EFI Working Paper Series in Economics and Finance (2004) View citations (3) (2004)

Edited books

2014

1. Essays in Nonlinear Time Series Econometrics
   OUP Catalogue, Oxford University Press View citations (11)