On periodic EGARCH models

DOI10.1080/03610918.2020.1722833zbMath1497.62246OpenAlexW3017222845MaRDI QIDQ5867420

Mohamed Bentarzi, Mohamed Sadoun

Publication date: 14 September 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1722833

zbMATH Keywords

periodically correlated processperiodic EGARCH modelstrict and second moment periodically stationary model

Mathematics Subject Classification ID

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

Cites Work

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• PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Periodic Time Series Models
• Periodically and Almost-Periodically Correlated Random Processes with a Continuous Time Parameter

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