On the estimation and diagnostic checking of the ARFIMA–HYGARCH model
Year of publication: |
2012
|
---|---|
Authors: | Kwan, Wilson ; Li, Wai Keung ; Li, Guodong |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 11, p. 3632-3644
|
Publisher: |
Elsevier |
Subject: | HYGARCH model | Long memory in volatility | Portmanteau test |
-
SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
Chikhi, Mohamed, (2012)
-
SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
Chikhi, Mohamed, (2013)
-
SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
Chikhi, Mohamed, (2012)
- More ...
-
Score Tests for Hyperbolic GARCH Models
Li, Muyi, (2011)
-
LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
Li, Guodong, (2009)
-
Li, Guodong, (2008)
- More ...