Estimation of<i>k</i>-Factor GIGARCH Process: A Monte Carlo Study (Q3543743)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of<i>k</i>-Factor GIGARCH Process: A Monte Carlo Study |
scientific article |
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Estimation of<i>k</i>-Factor GIGARCH Process: A Monte Carlo Study (English)
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4 December 2008
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conditional sum of squares
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Gegenbauer polynomial
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heteroskedasticity
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long memory
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Whittle estimation
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