This article establishes the strong consistency and asymptotic normality (CAN) of the quasi-maximum likelihood estimator (QMLE) for generalized autoregressive conditionally heteroscedastic (GARCH) and autoregressive moving-average (ARMA)-GARCH processes with periodically time-varying parameters....

A class of nonlinear time-series models in which the underlying process follows a finite mixture of bilinear representations is proposed. The mixture feature appears in the conditional distribution of the process which is given as a finite mixture of distributions evaluated at the normed...