A note on integrated periodic GARCH processes-Reference-Cited by-同舟云学术

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A note on integrated periodic GARCH processes

Published:2014-04 Issue: Volume:87 Page:121-124
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Bibi Abdelouahab,Lescheb Ines

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference12 articles.

1. Quasi maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes;Aknouche;J. Time Ser. Anal.,2009

2. Large sample properties of parameters estimates for periodic ARMA models;Basawa;J. Time Ser. Anal.,2001

3. On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity;Bibi;Math. Methods Statist.,2008

4. Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models;Bibi;Statist. Probab. Lett.,2010

5. Periodic autoregressive conditional heteroscedasticity;Bollerslev;J. Bus. Econom. Statist.,1996

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Selected topics and applications;Cyclostationary Processes and Time Series;2020

2. Bibliography;Cyclostationary Processes and Time Series;2020

3. Bootstrapping periodically autoregressive models;ESAIM: Probability and Statistics;2017

4. Cyclostationarity: New trends and applications;Signal Processing;2016-03

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