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QMLE for periodic time-varying asymmetric log GARCH models - MaRDI portal

QMLE for periodic time-varying asymmetric log GARCH models (Q2231570)

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QMLE for periodic time-varying asymmetric log GARCH models
scientific article

    Statements

    title
    QMLE for periodic time-varying asymmetric log GARCH models (English)
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    author
    Ahmed Ghezal
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    publication date
    30 September 2021
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    zbMATH Keywords
    quasi-maximum likelihood estimator (QMLE)
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    periodicity
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    asymmetric log GARCH
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    EGARCH
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    stationarity
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    asymptotic properties
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62M15
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    62F12
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    62P20
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    zbMATH DE Number
    7404674
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    OpenAlex ID
    W2995436040
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