Asymptotic properties of QMLE for seasonal threshold GARCH model with periodic coefficients-Reference-Cited by-同舟云学术

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Asymptotic properties of QMLE for seasonal threshold GARCH model with periodic coefficients

Published:2020-06-22 Issue:2 Volume:30 Page:477-514
ISSN:1618-2510
Container-title:Statistical Methods & Applications
language:en
Short-container-title:Stat Methods Appl

Author:

Bibi Abdelouahab

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s10260-020-00531-9.pdf

Reference27 articles.

1. Aknouche A, Bibi A (2008) Quasi-maximum likelihood estimation of periodic $$GARCH$$ and periodic $$ARMA-GARCH$$ processes. J Time Ser Anal 29(1):19–45

2. Billingsley P (1961) The Lindebergh–Lévy theorem for martingales. Proc Am Math Soc 12:788–792

3. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econom 31(3):307–327

4. Bollerslev T (2008) Glossary to ARCH (GARCH). In: Bollerslev T, Russell JR, Watson M (eds) Volatility and time series econometrics: essays in honour of Robert F. Angel. Oxford University Press, Oxford, p 2008

5. Boyles RA, Gardner WA (1983) Cycloergodic properties of discrete-parameter nonstationary stochastic processes. IEEE Trans Inf Theory 29:105–114

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1. QMLE for periodic absolute value GARCH models;Random Operators and Stochastic Equations;2024-02-01

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