QMLE for Periodic Time-Varying Asymmetric $$\log $$ GARCH Models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s40304-019-00193-4.pdf
Reference17 articles.
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3. Berkes, I., Horváth, L., Kokoszka, P.: GARCH processes: structure and estimation. Bernoulli 9(2), 201–227 (2003)
4. Bibi, A., Ghezal, A.: On periodic time-varying bilinear processes: structure and asymptotic inference. Stat. Methods Appl. 25(3), 395–420 (2016)
5. Bibi, A., Ghezal, A.: Markov-switching BILINEAR-GARCH processes: structure and estimation. Commun. Stat. Theory Methods 47(2), 307–323 (2018)
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