On periodic EGARCH models
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Publication:5867420
DOI10.1080/03610918.2020.1722833zbMath1497.62246MaRDI QIDQ5867420
Mohamed Bentarzi, Mohamed Sadoun
Publication date: 14 September 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2020.1722833
periodically correlated process; periodic EGARCH model; strict and second moment periodically stationary model
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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