Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes

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

zbMATH Keywords

asymptotic normalitystrong consistencyperiodic ergodicitystrict periodic stationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (25)

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