Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients

DOI10.1007/s10260-020-00531-9zbMath1476.62178OpenAlexW3036774463MaRDI QIDQ2059106

Abdelouahab Bibi

Publication date: 13 December 2021

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-020-00531-9

zbMATH Keywords

asymptotic normalitystrong consistencystrict periodic stationarityperiodic threshold GARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

QMLE for periodic absolute value GARCH models

Cites Work

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