A note on integrated periodic \textit{GARCH} processes
From MaRDI portal
Publication:2452884
DOI10.1016/J.SPL.2014.01.007zbMATH Open1296.60085OpenAlexW1997857662MaRDI QIDQ2452884FDOQ2452884
Authors: Abdelouahab Bibi, Ines Lescheb 
Publication date: 5 June 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2014.01.007
Recommendations
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
- Probabilistic properties of periodic GARCH prosses
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- Probabilistic properties of a Markov-switching periodic GARCH process.
- Integrated Markov-switching GARCH process
strict periodic stationarityintegrated periodic \textit{GARCH} processesperiodic \textit{GARCH} processes
Cites Work
- Strict stationarity of generalized autoregressive processes
- Stationarity of GARCH processes and of some nonnegative time series
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- Cyclostationarity: half a century of research
- On periodic and multiple autoregressions
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
- Convergence in distribution of products of random matrices
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
- Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients
Cited In (5)
This page was built for publication: A note on integrated periodic \textit{GARCH} processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2452884)
