QMLE of periodic time-varying bilinear– GARCH models
Author:
Affiliation:
1. Département de Mathématiques, Université Constantine 1, Constantine, Algeria
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2018.1476703
Reference21 articles.
1. Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
2. Periodic stationarity of random coefficient periodic autoregressions
3. On periodic time-varying bilinear processes: structure and asymptotic inference
4. Markov-switching BILINEAR − GARCH models: Structure and estimation
5. Strong consistency and asymptotic normality of least squares estimators for PGARCH and models
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