Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
From MaRDI portal
Publication:3077640
DOI10.1111/j.1467-9892.2008.00598.xzbMath1222.62107OpenAlexW2134809439MaRDI QIDQ3077640
Abdelhakim Aknouche, Abdelouahab Bibi
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00598.x
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (25)
Composite quantile regression estimation for P-GARCH processes ⋮ Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models ⋮ Goodness-of-fit tests for SPARMA models with dependent error terms ⋮ On periodic time-varying bilinear processes: structure and asymptotic inference ⋮ Power periodic threshold GARCH model: Structure and estimation ⋮ QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ M-estimation for periodic GARCH model with high-frequency data ⋮ Periodic autoregressive stochastic volatility ⋮ A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation ⋮ Asymptotic inference of unstable periodic ARCH processes ⋮ QMLE for periodic absolute value GARCH models ⋮ Bayesian analysis of periodic asymmetric power GARCH models ⋮ A note on integrated periodic \textit{GARCH} processes ⋮ QMLE for periodic time-varying asymmetric log GARCH models ⋮ Asymptotic inference for periodic ARCH processes ⋮ Weighted least absolute deviations estimation for periodic ARMA models ⋮ On some probabilistic properties of double periodic AR models ⋮ Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes ⋮ Probabilistic properties of periodic GARCH prosses ⋮ Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients ⋮ Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series ⋮ Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models ⋮ Explosive strong periodic autoregression with multiplicity one ⋮ Estimation for periodic ARMA models with unspecified noises ⋮ QMLE of periodic time-varying bilinear– GARCH models
Cites Work
- Unnamed Item
- Unnamed Item
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Subadditive ergodic theory
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- The efficiency of the estimators of the parameters in GARCH processes.
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- The Econometric Analysis of Seasonal Time Series
- Large Sample Properties of Parameter Estimates for Periodic ARMA Models
- Temporal Aggregation of Garch Processes
- Cycloergodic properties of discrete- parameter nonstationary stochastic processes
- ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
- Periodic Time Series Models
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Estimation of temporally aggregated multivariate GARCH models
- Causality conditions and autocovariance calculations in PVAR models
- Products of Random Matrices
This page was built for publication: Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes