Asymptotic inference of unstable periodic ARCH processes

DOI10.1007/S11203-011-9063-1zbMath1236.62010OpenAlexW2075365707MaRDI QIDQ411545

Abdelhakim Aknouche, Eid M. Al-Eid

Publication date: 4 April 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-011-9063-1

zbMATH Keywords

asymptotic normalityquasi maximum likelihood estimatestrict periodic stationarityweighted least squares estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (13)

QMLE of periodic integer-valued time series models ⋮ Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes ⋮ Inference in nonstationary asymmetric GARCH models ⋮ Periodic autoregressive stochastic volatility ⋮ Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions ⋮ Offline and online weighted least squares estimation of nonstationary power ARCH processes ⋮ Bayesian analysis of periodic asymmetric power GARCH models ⋮ Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases ⋮ Estimation and strict stationarity testing of ARCH processes based on weighted least squares ⋮ Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model ⋮ Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series ⋮ Explosive strong periodic autoregression with multiplicity one ⋮ Estimation for periodic ARMA models with unspecified noises

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