M-estimation in periodic threshold \textit{GARCH} models: consistency and asymptotic normality

DOI10.18514/MMN.2025.4747MaRDI QIDQ6927092zbMATH OpenFDO

Authors Ahmed Ghezal

Publication date 22 September 2025

Published in Miskolc Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.18514/MMN.2025.4747

zbMATH Keywords

\(M\)-estimatorasymptotic normalityperiodic threshold \textit{GARCH} modelQMLEstrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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