Fractionally integrated time varying GARCH model (Q257572)

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Language	Label	Description	Also known as
English	Fractionally integrated time varying GARCH model	scientific article

Statements

scholarly article

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Fractionally integrated time varying GARCH model (English)

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Mohamed Boutahar

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Abdelwahed Trabelsi

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Statistical Methods and Applications

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publication date

17 March 2016

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zbMATH Keywords

modeling volatility

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long memory

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structural changes

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model specification

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10260-010-0131-2

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Seasonal nonlinear long memory model for the US inflation rates

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Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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GARCH processes: structure and estimation

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Generalized autoregressive conditional heteroscedasticity

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Common Persistence in Conditional Variances

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Modeling and pricing long memory in stock market volatility

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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The detection and estimation of long memory in stochastic volatility

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Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information

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Testing the adequacy of smooth transition autoregressive models

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Modelling the persistence of conditional variances

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Autoregressive conditional heteroskedasticity and changes in regime

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ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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On the Autocorrelation Properties of Long‐Memory GARCH Processes

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Testing the constancy of regression parameters against continuous structural change

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Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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Evaluating GARCH models.

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Testing linearity against smooth transition autoregressive models

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices

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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL

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A nonlinear long memory model, with an application to US unemployment.

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Maximum Likelihood Estimation of Misspecified Models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10260-010-0131-2

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Sitelinks

Mathematics(1 entry)

mardi Publication:257572

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