Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients

By Rajae Azrak, Guy Mélard. 2006

51 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0abf86dc56a02e5d9bf558536a6ad8c2e989ec12

How researchers see this paper

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In Artificial Intelligence

1. Marc Hallin
2. Stanislav Volgushev
3. Holger Dette
4. Tobias Kley
5. Stefan Birr
6. Thomas Kneib
7. Davy Paindaveine
8. Matt Taddy

In Economics and Econometrics

1. Marc Hallin
2. Stanislav Volgushev
3. Holger Dette
4. Tobias Kley
5. Stefan Birr
6. Jushan Bai
7. George Kapetanios
8. M. Forni

In Finance

1. Stanislav Volgushev
2. Marc Hallin
3. Holger Dette
4. Tobias Kley
5. Stefan Birr
6. Johan Segers
7. Matteo Barigozzi
8. Jean-David Fermanian

Citations in the corpus

• Quantile spectral analysis for locally stationary time series (2014, background): “…models, but with parameters varying over time—see Subba Rao (1970), Hallin and Ingenbleek (1983) or Hallin (1984) for prototypical contributions and Azrak and Mélard (2006) for a detailed study of the time varying auto-regressive moving average (ARMA) case; (ii) the evolutionary spectral…”