3 papers
math.ST2025
Estimating weak Markov-switching AR(1) models
Yacouba Boubacar Mainassara, Landy Rabehasaina, Armel Bra
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption tha…
stat.AP2019
Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Youssef Esstafa, Bruno Saussereau
This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily in…
math.ST2018
Estimation of multivariate asymmetric power GARCH models
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new cla…