Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
DOI10.1016/J.SPL.2010.06.007zbMATH Open1203.62155OpenAlexW1563135472MaRDI QIDQ990922FDOQ990922
Ines Lescheb, Abdelouahab Bibi
Publication date: 1 September 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2010.06.007
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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- Estimating linear representations of nonlinear processes
- Strict stationarity of generalized autoregressive processes
- GARCH processes: structure and estimation
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- Varying Coefficient GARCH Models
- Consistent and asymptotically normal estimators for cyclically time-dependent linear models
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Cited In (10)
- QMLE of periodic time-varying bilinear– GARCH models
- On the stationarity and existence of moments of the periodic EGARCH process
- QMLE for periodic time-varying asymmetric log GARCH models
- Probabilistic properties of a Markov-switching periodic GARCH process
- Composite quantile regression estimation for P-GARCH processes
- A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation
- Estimation for periodic ARMA models with unspecified noises
- A note on integrated periodic \textit{GARCH} processes
- M-estimation for periodic GARCH model with high-frequency data
- Estimation and Asymptotic Properties in PeriodicGARCH(1, 1) Models
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