Power periodic threshold GARCH model: Structure and estimation
DOI10.1080/03610926.2018.1496258OpenAlexW2908278819MaRDI QIDQ5076941
Abderrahim Kessira, Hafida Guerbyenne
Publication date: 17 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1496258
momentsasymptotic normality\(\beta\)-mixingperiodic coefficientsquasi-maximum likelihood estimatorgeometric ergodicitystrict stationaritypower transformationthreshold GARCHuniform countable additivity condition
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Statistics (62-XX) Discrete-time Markov processes on general state spaces (60J05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation and tests for power-transformed and threshold GARCH models
- Inference in nonstationary asymmetric GARCH models
- Markov chains and stochastic stability
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
- Periodic stationarity of random coefficient periodic autoregressions
- Stationarity of GARCH processes and of some nonnegative time series
- Subadditive ergodic theory
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
- The geometric ergodicity and existence of moments for a class of nonlinear time series model
- GARCH processes: structure and estimation
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Generalized autoregressive conditional heteroscedasticity
- Drift conditions and invariant measures for Markov chains.
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- Convergence in distribution of products of random matrices
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Class of Nonlinear Arch Models
- Mixing Conditions for Markov Chains
- Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
- Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients
This page was built for publication: Power periodic threshold GARCH model: Structure and estimation
