Power periodic threshold GARCH model: structure and estimation
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- scientific article; zbMATH DE number 1779501 (Why is no real title available?)
- A Class of Nonlinear Arch Models
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
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- Convergence in distribution of products of random matrices
- Drift conditions and invariant measures for Markov chains.
- Estimation and tests for power-transformed and threshold GARCH models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients
- Inference in nonstationary asymmetric GARCH models
- Markov chains and stochastic stability
- Mixing Conditions for Markov Chains
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
- Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
- Periodic stationarity of random coefficient periodic autoregressions
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Stationarity of GARCH processes and of some nonnegative time series
- Subadditive ergodic theory
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
- The geometric ergodicity and existence of moments for a class of nonlinear time series model
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
Cited in
(9)- Estimation and tests for power-transformed and threshold GARCH models
- On the distribution estimation of power threshold GARCH processes
- Probabilistic properties of periodic GARCH prosses
- Local asymptotic normality in periodic threshold GARCH and periodic GARCH models
- Statistical inference for first-order periodic autoregressive conditional heteroscedasticity models.
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- scientific article; zbMATH DE number 7112390 (Why is no real title available?)
- \textit{QMLE} of the general periodic \textit{GARCH} models
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
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