It is well known that in the context of the classical regression model with heteroskedastic errors, while ordinary least squares (OLS) is not efficient, the weighted least squares (WLS) and quasi-maximum likelihood (QML) estimators that utilize the information contained in the heteroskedasticity...

This study introduces a new class of time series models capturing dynamic seasonality. Unlike traditional seasonal models that mainly focus on the mean process, our approach accommodates dynamic seasonality in the mean and variance processes. This feature allows us to statistically infer dynamic...

A general method is proposed for the construction of valid simultaneous confidence sets in the context of stationary GARCH models. The proposed method proceeds by numerically inverting the conventional likelihood ratio test. In order to hedge against the risk of a spurious rejection, candidate...