Asymptotic theory for fractionally integrated asymmetric power ARCH models (Q452996): Difference between revisions

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+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
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@@ Property / zbMATH DE Number @@
+6083678
@@ Property / zbMATH DE Number: 6083678 / rank @@
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@@ Property / zbMATH Keywords @@
+long memory
@@ Property / zbMATH Keywords: long memory / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+GARCH
@@ Property / zbMATH Keywords: GARCH / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quasi-maximum likelihood
@@ Property / zbMATH Keywords: quasi-maximum likelihood / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time series
@@ Property / zbMATH Keywords: time series / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jspi.2012.04.004
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@@ Property / OpenAlex ID @@
+W2072097584
@@ Property / OpenAlex ID: W2072097584 / rank @@
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@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+The efficiency of the estimators of the parameters in GARCH processes.
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+On the existence of some ARCH\((\infty)\)processes
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@@ Property / cites work @@
+Estimating Long Memory in Volatility
@@ Property / cites work: Estimating Long Memory in Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
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@@ links / mardi / name / links / mardi / name @@
+Publication:452996