Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/article/10.1007/s11203-017-9160-x/fulltext.html
Reference57 articles.
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3. Aknouche A, Bibi A (2009) Quasi-maximum likelihood estimation of periodic $$GARCH$$ G A R C H and periodic $$ARMA$$ A R M A - $$GARCH$$ G A R C H processes. J Time Ser Anal 30:19–46
4. Aknouche A, Touche N (2015) Weighted least squares-based inference for stable and unstable threshold power $$ARCH$$ A R C H processes. Stat Probab Lett 97:108–115
5. Ambach D, Croonenbroeck C (2015) Obtaining superior wind power predictions from a periodic and heteroscedastic wind power prediction tool. In: Steland A, Rafajłowicz E, Szajowski K (eds) Stochastic models, statistics and their applications. Springer proceedings in mathematics & statistics, vol 122. Springer, pp 225–232. doi: 10.1007/978-3-319-13881-7_25
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