On the existence of higher-order moments of periodic GARCH models

DOI10.1016/J.SPL.2008.06.010zbMath1294.62186OpenAlexW2024794258MaRDI QIDQ958952

Abdelhakim Aknouche, Mohamed Bentarzi

Publication date: 10 December 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.06.010

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Asymptotic inference of unstable periodic ARCH processes ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ On some probabilistic properties of double periodic AR models ⋮ Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes

Cites Work

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• Stationarity of GARCH processes and of some nonnegative time series
• Model-building problem of periodically correlated \(m\)-variate moving average processes
• Generalized autoregressive conditional heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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