Mixture periodic GARCH models: theory and applications
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/article/10.1007/s00181-017-1348-9/fulltext.html
Reference35 articles.
1. Aknouche A, Bentarzi M (2008) On the existence of higher-order moments of periodic GARCH models. Stat Probab Lett 78:3262–3268
2. Aknouche A, Bibi A (2009) Quasi-maximum likelihood estimation of periodic $$GARCH$$ GARCH and periodic $$ARMA$$ ARMA - $$GARCH$$ GARCH processes. J Time Ser Anal 30:19–46
3. Aknouche A, Guerbyenne H (2009a) On some probabilistic properties of double periodic $$AR$$ AR models. Stat Probab Lett 79:407–413
4. Aknouche A, Guerbyenne H (2009b) Periodic stationarity of random coefficient periodic autoregressions. Stat Probab Lett 79:990–996
5. Alexander C, Lazar E (2006) Normal mixture $$GARCH(1,1)$$ G A R C H ( 1 , 1 ) : applications to exchange rate modelling. J Appl Econom 21:307–336
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