QMLE for periodic absolute value GARCH models

DOI10.1515/rose-2023-2027OpenAlexW4391402945MaRDI QIDQ6123179

Ines Lescheb, Mouloud Cherfaoui, Walid Slimani

Publication date: 4 March 2024

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2023-2027

zbMATH Keywords

consistencyasymptotic normalityGaussian QML estimatorperiodic absolute value GARCH modelstrictly periodically stationary

Mathematics Subject Classification ID

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

Cites Work

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