Estimating parameters of a \(k\)-factor GIGARCH process

DOI10.1016/j.crma.2004.07.014zbMath1081.62063OpenAlexW2039020632MaRDI QIDQ1887011

Abdou Kâ Diongue, Dominique Guégan

Publication date: 23 November 2004

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2004.07.014

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• A limit theory for long-range dependence and statistical inference on related models
• Estimating a generalized long memory process
• WHITTLE ESTIMATION OF ARCH MODELS
• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
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