Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
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Publication:3543743
DOI10.1080/03610910802304994zbMath1153.62355OpenAlexW2067888201MaRDI QIDQ3543743
Abdou Kâ Diongue, Dominique Guégan
Publication date: 4 December 2008
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910802304994
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Monte Carlo methods (65C05)
Related Items (2)
Inference for estimators of generalized long memory processes ⋮ Thek-factor GARMA Process with Infinite Variance Innovations
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