On the estimation and diagnostic checking of the ARFIMA-HYGARCH model

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

zbMATH Keywords

portmanteau testlong memory in volatility

Mathematics Subject Classification ID

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

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