Periodic stationarity of random coefficient periodic autoregressions

DOI10.1016/J.SPL.2008.12.012zbMath1161.62051OpenAlexW2030257795MaRDI QIDQ1012233

Abdelhakim Aknouche, Hafida Guerbyenne

Publication date: 15 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.12.012

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

Power periodic threshold GARCH model: Structure and estimation ⋮ QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ QMLE for periodic absolute value GARCH models ⋮ On general periodic time-varying bilinear processes ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ QMLE for periodic time-varying asymmetric log GARCH models ⋮ On Markov-switching periodicARMAmodels ⋮ QMLE of periodic time-varying bilinear– GARCH models

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