Asymptotic inference of unstable periodic ARCH processes
DOI10.1007/S11203-011-9063-1zbMATH Open1236.62010OpenAlexW2075365707MaRDI QIDQ411545FDOQ411545
Abdelhakim Aknouche, Eid M. Al-Eid
Publication date: 4 April 2012
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-011-9063-1
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Cites Work
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Cited In (14)
- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- Explosive strong periodic autoregression with multiplicity one
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
- Estimation for periodic ARMA models with unspecified noises
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- Bayesian analysis of periodic asymmetric power GARCH models
- QMLE of periodic integer-valued time series models
- Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series
- Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
- Asymptotic Filtering Theory for Univariate Arch Models
- Periodic autoregressive stochastic volatility
- Inference in nonstationary asymmetric GARCH models
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