NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION (Q3580634)

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English	NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION	scientific article

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scholarly article

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NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION (English)

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zbMATH Open document ID

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10.1017/S0266466609990466

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Econometric Theory

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publication date

13 August 2010

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full work available at URL

https://arxiv.org/abs/0903.3180

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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Local Whittle estimation of fractional integration and some of its variants

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Asymptotic spectral theory for nonlinear time series

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The distance between rival nonstationary fractional processes

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Efficient parameter estimation for self-similar processes

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Weighted least squares estimators on the frequency domain for the parameters of a time series

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Gaussian semiparametric estimation of long range dependence

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Generalized autoregressive conditional heteroscedasticity

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Log-periodogram regression of time series with long range dependence

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Local Whittle estimation in nonstationary and unit root cases.

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Nonstationarity-extended local Whittle estimation

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Minimum distance estimation of stationary and non‐stationary ARFIMA processes

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Alternative forms of fractional Brownian motion

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NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER GARCH(<i>r</i>,<i>s</i>) MODELS

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

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Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices

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A limit theory for long-range dependence and statistical inference on related models

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The asymptotic theory of linear time-series models

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Central limit theorems for time series regression

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ON GENERALIZED FRACTIONAL PROCESSES

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Gaussian inference on certain long-range dependent volatility models

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Whittle estimator for finite-variance non-Gaussian time series with long memory

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Limit theorems for iterated random functions

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ARCH-type bilinear models with double long memory.

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On linear processes with dependent innovations

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A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

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Nonlinear system theory: Another look at dependence

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WHITTLE ESTIMATION OF ARCH MODELS

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Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

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On estimation of the integrals of the fourth order cumulant spectral density

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An introduction to bispectral analysis and bilinear time series models

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LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES

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