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A note on asymptotic inference for FIGARCH\((p,d,q)\) models - MaRDI portal

A note on asymptotic inference for FIGARCH\((p,d,q)\) models

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Publication:647181

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DOI10.4310/SII.2011.v4.n2.a16MaRDI QIDQ647181

Chi Tim Ng, Ngai Hang Chan

Publication date: 1 December 2011

Published in: Statistics and Its Interface (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

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