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math.ST2018
Portmanteau test for the asymmetric power GARCH model when the power is unknown
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic beha…
math.ST2018
Estimation of weak ARMA models with regime changes
Yacouba Boubacar Maïnassara, Landy Rabehasaina
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of autoregressive moving-average (ARMA) models with regime changes under the assumption that…