Asymptotic inference for periodic ARCH processes
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Publication:4923222
DOI10.1515/ROSE.2011.015zbMath1349.62412MaRDI QIDQ4923222
Publication date: 6 June 2013
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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Cites Work
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
- Stationarity of GARCH processes and of some nonnegative time series
- Asymptotic efficiency of conditional least squares estimators for ARCH models
- The \(L^2\)-structures of standard and switching-regime GARCH models
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
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