Spectral analysis for GARCH processes through a bilinear representation

DOI10.1080/03610926.2022.2034019OpenAlexW4213093605MaRDI QIDQ6096159

Karima Kimouche, Abdelouahab Bibi

Publication date: 11 September 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2034019

zbMATH Keywords

spectral densitytransfer functionsbilinear modelbispectral density\textit{GARCH} model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Estimating linear representations of nonlinear processes
• Multiple Wiener-Ito integrals. With applications to limit theorems
• ARCH models and financial applications
• ARCH-type bilinear models with double long memory.
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Statistical inference for mixture GARCH models with financial application
• Evolutionary transfer functions of bilinear processes with time-varying coefficients
• Spectral density of Markov-switching VARMA models
• The \(L^2\)-structures of standard and switching-regime GARCH models
• On Wiener–Ito representation and the best linear predictors for bilinear time series
• On the Covariance Structure of Time Varying Bilinear Models
• Spectral analysis of Markov switching GARCH models with statistical inference
• Stationarity of multivariate Markov-switching ARMA models

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