On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity

DOI10.3103/S1066530708040029zbMATH Open1231.62159MaRDI QIDQ734550FDOQ734550

Abdelhakim Aknouche, Abdelouahab Bibi

Publication date: 13 October 2009

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

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Cites Work

Mixing: Properties and examples
Mixing Conditions for Markov Chains
Strict stationarity of generalized autoregressive processes
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Stationarity of GARCH processes and of some nonnegative time series
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
Convergence in distribution of products of random matrices
Title not available (Why is that?)

Cited In (24)

Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
On stationarity and \(\beta \)-mixing of periodic bilinear processes
On the stationarity and existence of moments of the periodic EGARCH process
Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
Title not available (Why is that?)
On the existence of higher-order moments of periodic GARCH models
Probabilistic properties of a Markov-switching periodic GARCH process
Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
Asymptotic inference for periodic ARCH processes
On some probabilistic properties of double periodic AR models
Title not available (Why is that?)
On stationarity of the periodic AGARCH processes
Probabilistic properties of periodic GARCH prosses
Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
Study of persistence and copersistence for conditional moments of time series
Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes
A note on integrated periodic \textit{GARCH} processes
Estimation and Asymptotic Properties in PeriodicGARCH(1, 1) Models
Power periodic threshold GARCH model: Structure and estimation
QMLE for periodic absolute value GARCH models

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