Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes
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DOI: 10.1111/j.1467-9892.2008.00598.x
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- Regnard, Nazim & Zakoïan, Jean-Michel, 2011.
"A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices,"
Energy Economics, Elsevier, vol. 33(6), pages 1240-1251.
- Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.
- Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
- Christian Francq & Roch Roy & Abdessamad Saidi, 2011.
"Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
- Francq, Christian & Roy, Roch & Saidi, Abdessamad, 2011. "Asymptotic properties of weighted least squares estimation in weak parma models," MPRA Paper 28721, University Library of Munich, Germany.
- Bibi, Abdelouahab & Lescheb, Ines, 2014. "A note on integrated periodic GARCH processes," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 121-124.
- Aknouche, Abdelhakim, 2013. "Periodic autoregressive stochastic volatility," MPRA Paper 69571, University Library of Munich, Germany, revised 2015.
- Ausloos, Marcel & Nedic, Olgica & Dekanski, Aleksandar & Mrowinski, Maciej J. & Fronczak, Piotr & Fronczak, Agata, 2017. "Day of the week effect in paper submission/acceptance/rejection to/in/by peer review journals. II. An ARCH econometric-like modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 462-474.
- repec:dau:papers:123456789/5529 is not listed on IDEAS
- Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
- Nadia Boussaha & Faycal Hamdi & Saïd Souam, 2018. "Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling," EconomiX Working Papers 2018-14, University of Paris Nanterre, EconomiX.
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