QMLE for periodic absolute value GARCH models
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DOI: 10.1515/rose-2023-2027
Abstract: Abstract Periodic generalized autoregressive conditionally heteroscedastic (PGARCH) models were introduced by Bollerslev and Ghysels [T. Bollerslev and E. Ghysels, Periodic autoregressive conditional heteroscedasticity, J. Bus. Econom. Statist. 14 1996, 2, 139–151]; these models have gained… read more here.
Keywords: absolute value; value garch; periodic absolute; qmle periodic ... See more keywords