QMLE of periodic time-varying bilinear– GARCH models

DOI10.1080/03610926.2018.1476703MaRDI QIDQ5866068zbMATH OpenOpenAlexFDO

Authors Abdelouahab Bibi, Ahmed Ghezal

Publication date 10 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1476703

zbMATH Keywords

asymptotic normalityperiodic bilinear-\textit{GARCH} modelstationaritystrong consistency

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Asymmetric GARCH processes featuring both threshold effect and bilinear structure
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• BL-GARCH models and asymmetries in volatility
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• Markov-switching BILINEAR-GARCH models: structure and estimation
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On periodic time-varying bilinear processes: structure and asymptotic inference
• Parameter estimation in nonlinear AR-GARCH models
• Periodic stationarity of random coefficient periodic autoregressions
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Statistical inference for non-stationary GARCH(p,q) models
• Strict stationarity of generalized autoregressive processes
• Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
• The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients

Cited in

(6)

• Statistical inference for mixture GARCH models with financial application
• Spectral analysis for GARCH processes through a bilinear representation
• scientific article; zbMATH DE number 7783794 (Why is no real title available?)
• Generalized autocovariance matrices for multivariate time series
• On the p-dimensional system of nonlinear difference equations: (K+2)-periodic solutions and convergence
• Bilinear log-GARCH model

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