A note on integrated periodic \textit{GARCH} processes

DOI10.1016/J.SPL.2014.01.007MaRDI QIDQ2452884zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

strict periodic stationarityintegrated periodic \textit{GARCH} processesperiodic \textit{GARCH} processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

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Cites work

• Convergence in distribution of products of random matrices
• Cyclostationarity: half a century of research
• Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients
• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• On periodic and multiple autoregressions
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(5)

• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• Integrated Markov-switching GARCH process
• Bootstrapping periodically autoregressive models
• Near-integrated GARCH sequences
• Probabilistic properties of a Markov-switching periodic GARCH process.

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