Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series

Springer Proceedings in Mathematics and Statistics

Volumn 122, Issue , 2015, Pages 207-214

  Ziel, Florian ^a  

^a EUROPEAN UNIVERSITY VIADRINA   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

MAXIMUM LIKELIHOOD; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; TIME SERIES;

ASYMPTOTIC NORMALITY; AUTO-REGRESSIVE; ERGODICS; HETEROSCEDASTIC; QUASI MAXIMUM LIKELIHOOD; QUASI-MAXIMUM LIKELIHOOD ESTIMATION; TIME SERIES MODELING;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 84922346957     PISSN: 21941009     EISSN: 21941017     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-319-13881-7_23     Document Type: Conference Paper

References (6)

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3. Doukhan P, Wintenberger O (2008) Weakly dependent chains with infinite memory. Stoch Process Appl 118(11):1997–2013
4. Aknouche A, Bibi A (2009) Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes. J Time Ser Anal 40(1):19–46
5. Straumann D, Mikosch T (2009) Quasi-maximum likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Ann Stat 34(5):2449–2495
6. Jeantheau T (1998) Strong consistency of estimators for multivariate ARCH models. Econ Theory 14(1):70–86