QMLE for periodic absolute value GARCH models
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Cites work
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Asymptotic inference for periodic ARCH processes
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- scientific article; zbMATH DE number 3336457 (Why is no real title available?)
- scientific article; zbMATH DE number 3196591 (Why is no real title available?)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
- On stationarity of the periodic AGARCH processes
- Periodic stationarity of random coefficient periodic autoregressions
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- Random coefficient autoregressive models: an introduction
- Stationarity of GARCH processes and of some nonnegative time series
- Statistical inference for non-stationary GARCH(p,q) models
- Strict stationarity of generalized autoregressive processes
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Subadditive ergodic theory
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