Asymptotic inference of unstable periodic ARCH processes-Reference-Cited by-同舟云学术

Asymptotic inference of unstable periodic ARCH processes

Published:2011-12-29 Issue:1 Volume:15 Page:61-79
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Aknouche Abdelhakim,Al-Eid Eid

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11203-011-9063-1.pdf

Reference31 articles.

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2. Aknouche A, Bentarzi M (2008) On the existence of higher-order moments of periodic GARCH models. Stat Probab Lett 78: 3262–3268

3. Aknouche A, Bibi A (2009) Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA–GARCH processes. J Time ser Anal 30: 19–46

4. Aue A, Horváth L (2011) Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients. Stat Sin (in press)

5. Berkes I, Horváth L, Ling S (2009) Estimation in nonstationary random coefficient autoregressive models. J Time Ser Anal 30: 395–416

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