On the existence of higher-order moments of periodic GARCH models

DOI10.1016/j.spl.2008.06.010zbMath1294.62186MaRDI QIDQ958952

Abdelhakim Aknouche, Mohamed Bentarzi

Publication date: 10 December 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.06.010

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Asymptotic inference of unstable periodic ARCH processes, On some probabilistic properties of double periodic AR models, Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes, Probabilistic properties of a Markov-switching periodic GARCH process

Cites Work

• Stationarity of GARCH processes and of some nonnegative time series
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• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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