Asymptotic inference of unstable periodic ARCH processes

Statistical Inference for Stochastic Processes

Volumn 15, Issue 1, 2012, Pages 61-79

  Aknouche, Abdelhakim ^a,b   Al Eid, Eid ^a  

^a QASSIM UNIVERSITY   (Saudi Arabia)

^b UNIVERSITY OF SCIENCES AND TECHNOLOGY HOUARI BOUMEDIENE   (Algeria)

Author keywords

Asymptotic normality; Periodic ARCH process; Quasi maximum likelihood estimate; Strict periodic Stationarity; Weighted least squares estimate

Indexed keywords

EID: 84857919918     PISSN: 13870874     EISSN: 15729311     Source Type: Journal    
DOI: 10.1007/s11203-011-9063-1     Document Type: Article

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