Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
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Publication:3077640
DOI10.1111/J.1467-9892.2008.00598.XzbMATH Open1222.62107OpenAlexW2134809439MaRDI QIDQ3077640FDOQ3077640
Authors: 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
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Cited In (29)
- QMLE of periodic time-varying bilinear– GARCH models
- Explosive strong periodic autoregression with multiplicity one
- Asymptotic properties of weighted least squares estimation in weak PARMA models
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- QMLE for periodic time-varying asymmetric log GARCH models
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
- QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
- Asymptotic inference for periodic ARCH processes
- Power periodic threshold GARCH model: structure and estimation
- Composite quantile regression estimation for P-GARCH processes
- On some probabilistic properties of double periodic AR models
- Probabilistic properties of periodic GARCH prosses
- A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation
- Goodness-of-fit tests for SPARMA models with dependent error terms
- Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series
- On periodic time-varying bilinear processes: structure and asymptotic inference
- Estimation for periodic ARMA models with unspecified noises
- Estimation and asymptotic properties in periodic GARCH(1,1) models
- Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes
- Bayesian analysis of periodic asymmetric power GARCH models
- A note on integrated periodic \textit{GARCH} processes
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- On periodic logGARCH model with empirical application model with empirical application
- Weighted least absolute deviations estimation for periodic ARMA models
- M-estimation for periodic GARCH model with high-frequency data
- Periodic autoregressive stochastic volatility
- \textit{QMLE} of the general periodic \textit{GARCH} models
- QMLE for periodic absolute value GARCH models
- Asymptotic inference of unstable periodic ARCH processes
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