Asymptotic inference of unstable periodic ARCH processes
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Cites work
- scientific article; zbMATH DE number 4043108 (Why is no real title available?)
- scientific article; zbMATH DE number 3278887 (Why is no real title available?)
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Asymptotic inference for a nonstationary double AR(1) model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Cycloergodic properties of discrete- parameter nonstationary stochastic processes
- ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Estimation in nonstationary random coefficient autoregressive models
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- Martingale Central Limit Theorems
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On the existence of higher-order moments of periodic GARCH models
- Periodic Time Series Models
- Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Stability of perpetuities
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
Cited in
(18)- Estimation for periodic ARMA models with unspecified noises
- Asymptotic inference for periodic ARCH processes
- 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
- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- QMLE of periodic integer-valued time series models
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- Explosive strong periodic autoregression with multiplicity one
- Asymptotic properties of weighted least squares estimation in weak PARMA models
- Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
- Inference in nonstationary asymmetric GARCH models
- Periodic autoregressive stochastic volatility
- Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series
- Bayesian analysis of periodic asymmetric power GARCH models
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
- Asymptotic Filtering Theory for Univariate Arch Models
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