On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
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Cites work
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- scientific article; zbMATH DE number 3336457 (Why is no real title available?)
- Convergence in distribution of products of random matrices
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Mixing Conditions for Markov Chains
- Mixing: Properties and examples
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
Cited in
(28)- On some probabilistic properties of double periodic AR models
- 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
- Asymptotic inference for periodic ARCH processes
- On stationarity of the periodic AGARCH processes
- Probabilistic properties of a Markov-switching periodic GARCH process.
- Study of persistence and copersistence for conditional moments of time series
- scientific article; zbMATH DE number 2185988 (Why is no real title available?)
- On periodic logGARCH model with empirical application model with empirical application
- On the existence of higher-order moments of periodic GARCH models
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
- Power periodic threshold GARCH model: structure and estimation
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- scientific article; zbMATH DE number 1960952 (Why is no real title available?)
- Estimation and asymptotic properties in periodic GARCH(1,1) models
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- On stationarity and \(\beta \)-mixing of periodic bilinear processes
- \textit{QMLE} of the general periodic \textit{GARCH} models
- A new model for periodically correlated process with conditional heteroscedasticity
- On the stationarity and existence of moments of the periodic EGARCH process
- A note on integrated periodic \textit{GARCH} processes
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
- Probabilistic properties of periodic GARCH prosses
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes
- Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
- QMLE for periodic absolute value GARCH models
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