Periodic stationarity of random coefficient periodic autoregressions

DOI10.1016/J.SPL.2008.12.012zbMATH Open1161.62051OpenAlexW2030257795MaRDI QIDQ1012233FDOQ1012233

Authors: Abdelhakim Aknouche, Hafida Guerbyenne 

Publication date: 15 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.12.012

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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Cited In (15)

• QMLE of periodic time-varying bilinear– GARCH models
• Periodic autoregression with exogenous variables and periodic variances
• QMLE for periodic time-varying asymmetric log GARCH models
• QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
• Power periodic threshold GARCH model: structure and estimation
• On some probabilistic properties of double periodic AR models
• On stationarity of the periodic AGARCH processes
• Stability analysis of the first-order periodic autoregressive diagonal bilinear model
• On first and second order stationarity of random coefficient models
• On Markov-switching periodicARMAmodels
• On general periodic time-varying bilinear processes
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• QMLE for periodic absolute value GARCH models
• Probabilistic properties of a Markov-switching periodic GARCH process.

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