Probabilistic properties of periodic GARCH prosses

DOI10.1016/j.crma.2009.01.008zbMath1166.62064arXiv0709.2983OpenAlexW2022819352MaRDI QIDQ1009536

Abdelhakim Aknouche, Abdelouahab Bibi

Publication date: 2 April 2009

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.2983

zbMATH Keywords

ergodicitystationary solutionsPGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic analysis (60H99)

Related Items (2)

Composite quantile regression estimation for P-GARCH processes ⋮ On stationarity and \(\beta \)-mixing of periodic bilinear processes

Cites Work

• Unnamed Item
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• Stationarity of GARCH processes and of some nonnegative time series
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• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Cycloergodic properties of discrete- parameter nonstationary stochastic processes
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS

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