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QMLE for Periodic Time-Varying Asymmetric $\log $ GARCH Models · Study

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ArticleQMLE for Periodic Time-Varying Asymmetric $$\log $$ GARCH Models

Ahmed Ghezal2019

Article2019

QMLE for Periodic Time-Varying Asymmetric $$\log $$ GARCH Models

17 citations·0/0 files stored·Communications in Mathematics and Statistics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

2003GARCH processes: structure and estimation 2019GARCH Models: Structure, Statistical Inference and Financial Applications 1996Periodic Autoregressive Conditional Heteroscedasticity 2010GARCH Models 2004Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 2013GARCH models without positivity constraints: Exponential or log GARCH?2008Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes

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2023On Markov−switching asymmetric logGARCH models: Stationarity and estimation

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Year2019

Typearticle

Published2019-12-11

VenueCommunications in Mathematics and Statistics

ISSN-L2194-6701

Languageen

Citations17

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s40304-019-00193-4

openalex_workW2995436040

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