On the existence of higher-order moments of periodic GARCH models
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Publication:958952
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
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
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