Analytic Hessian matrices and the computation of FIGARCH estimates

DOI10.1007/BF02511490zbMath1145.62368OpenAlexW2052386141MaRDI QIDQ1766976

Marco J. Lombardi, Giampiero M. Gallo

Publication date: 3 March 2005

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02511490

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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On the estimation and diagnostic checking of the ARFIMA-HYGARCH model ⋮ A new hyperbolic GARCH model ⋮ Fractionally integrated GARCH model with tempered stable distribution: a simulation study ⋮ Misspecification tests for periodic long memory GARCH models

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