Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
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Cites work
- scientific article; zbMATH DE number 3680971 (Why is no real title available?)
- scientific article; zbMATH DE number 3336457 (Why is no real title available?)
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
- Causality conditions and autocovariance calculations in PVAR models
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- Products of Random Matrices
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- Strict stationarity of generalized autoregressive processes
- Subadditive ergodic theory
- Temporal Aggregation of Garch Processes
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Cited in
(29)- Estimation for periodic ARMA models with unspecified noises
- On some probabilistic properties of double periodic AR models
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- Asymptotic inference for periodic ARCH processes
- On periodic logGARCH model with empirical application model with empirical application
- Weighted least absolute deviations estimation for periodic ARMA models
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
- M-estimation for periodic GARCH model with high-frequency data
- Power periodic threshold GARCH model: structure and estimation
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation
- QMLE for periodic time-varying asymmetric log GARCH models
- Estimation and asymptotic properties in periodic GARCH(1,1) models
- Goodness-of-fit tests for SPARMA models with dependent error terms
- Explosive strong periodic autoregression with multiplicity one
- Asymptotic properties of weighted least squares estimation in weak PARMA models
- QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
- Periodic autoregressive stochastic volatility
- \textit{QMLE} of the general periodic \textit{GARCH} models
- Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series
- QMLE of periodic time-varying bilinear– GARCH models
- Bayesian analysis of periodic asymmetric power GARCH models
- A note on integrated periodic \textit{GARCH} processes
- Asymptotic inference of unstable periodic ARCH processes
- Probabilistic properties of periodic GARCH prosses
- On periodic time-varying bilinear processes: structure and asymptotic inference
- Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes
- Composite quantile regression estimation for P-GARCH processes
- QMLE for periodic absolute value GARCH models
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