Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes
DOI10.1080/03610918.2010.512694zbMATH Open1205.62126OpenAlexW1990857098MaRDI QIDQ3072403FDOQ3072403
Authors: Mohamed Bentarzi, M. Merzougui 
Publication date: 3 February 2011
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2010.512694
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ARCH models as diffusion approximations
- The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
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- Asymptotic distribution of the log-likelihood function for stochastic processes
- Aligned rank tests for linear models with autocorrelated error terms
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- On adaptive estimation in stationary ARMA processes
- On the existence of higher-order moments of periodic GARCH models
- Optimal rank-based tests against first-order superdiagonal bilinear dependence
- Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
- Adaptive estimates for autoregressive processes
- Efficiencies of tests and estimators for p-order autoregressive processes when the error distribution is nonnormal
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
- Robust Multivariate Regression When There is Heteroscedasticity
- ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS
- Optimal Detection of Exponential Component in Autoregressive Models
- Adaptive estimation of causal periodic autoregressive model
Cited In (6)
- Test for periodicity in restrictive EXPAR models
- Adaptive testing in arch models
- Adaptive test for periodicity in restrictive EXPAR(p) models
- Adaptive test for periodicity in self-exciting threshold autoregressive models
- Adaptive estimation of periodic first-order threshold autoregressive model
- Adaptive test for periodic ARFIMA models
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