On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
From MaRDI portal
Publication:1927143
DOI10.1016/j.csda.2010.07.010zbMath1255.62261OpenAlexW2068376931MaRDI QIDQ1927143
Guodong Li, Wilson C. Kwan, Wai Keung Li
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.010
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (5)
Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\) ⋮ A new hyperbolic GARCH model ⋮ Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference ⋮ Ian McLeod’s Contribution to Time Series Analysis—A Tribute ⋮ M-estimate for the stationary hyperbolic GARCH models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Long memory relationships and the aggregation of dynamic models
- The detection and estimation of long memory in stochastic volatility
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Analytic Hessian matrices and the computation of FIGARCH estimates
- Generalized autoregressive conditional heteroscedasticity
- Rescaled variance and related tests for long memory in volatility and levels
- Modeling and pricing long memory in stock market volatility
- Estimation in conditionally heteroscedatic time series models.
- Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- Modelling the persistence of conditional variances
- Fractional differencing
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
- On a measure of lack of fit in time series models
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- STATIONARITY AND MEMORY OF ARCH([infty infinity) MODELS]
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- Mixed Portmanteau Tests for Time‐Series Models
- Finite sample properties of a QML estimator of stochastic volatility models with long memory.
This page was built for publication: On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
