Periodic autoregressive stochastic volatility

DOI10.1007/s11203-016-9139-zOpenAlexW2508727445MaRDI QIDQ2412761

Abdelhakim Aknouche

Publication date: 27 October 2017

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/69571/9/MPRA_paper_69571.pdf

zbMATH Keywords

DICperiodic autoregressionBayesian Griddy Gibbs samplerperiodic stochastic volatilityQML via prediction error decomposition and Kalman filteringsingle-move approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Limit theorems in probability theory (60F99)

Related Items (3)

Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models ⋮ Bayesian analysis of periodic asymmetric power GARCH models ⋮ On periodic autoregressive stochastic volatility models: structure and estimation

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