Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study

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

zbMATH Keywords

long memoryGegenbauer polynomialheteroskedasticityWhittle estimationconditional sum of squares

Mathematics Subject Classification ID

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

Cites Work

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