A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation (Q611171): Difference between revisions

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+https://doi.org/10.1016/j.crma.2010.10.019
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+W1969940256
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@@ Property / cites work @@
+Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
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+Large Sample Properties of Parameter Estimates for Periodic ARMA Models
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+Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
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+Estimating linear representations of nonlinear processes
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+On periodic and multiple autoregressions
@@ Property / cites work: On periodic and multiple autoregressions / rank @@
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