Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models

DOI10.1016/J.SPL.2010.06.007MaRDI QIDQ990922zbMATH OpenOpenAlexFDO

Authors Abdelouahab Bibi, Ines Lescheb

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

zbMATH Keywords

asymptotic normalitystrong consistencyleast squares estimationPARMA-PGARCH modelsPGARCH models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Consistent and asymptotically normal estimators for cyclically time-dependent linear models
• Estimating linear representations of nonlinear processes
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Strict stationarity of generalized autoregressive processes
• Varying Coefficient GARCH Models

Cited in

(14)

• QMLE of periodic time-varying bilinear– GARCH models
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• On the stationarity and existence of moments of the periodic EGARCH process
• QMLE for periodic time-varying asymmetric log GARCH models
• Composite quantile regression estimation for P-GARCH processes
• Asymptotic inference for periodic ARCH processes
• Probabilistic properties of periodic GARCH prosses
• A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation
• Estimation and asymptotic properties in periodic GARCH(1,1) models
• 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
• Probabilistic properties of a Markov-switching periodic GARCH process.
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes

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