Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models (Q4468546)
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scientific article; zbMATH DE number 2073234
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models |
scientific article; zbMATH DE number 2073234 |
Statements
Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models (English)
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10 June 2004
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adaptive estimator
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ARFIMA-GARCH model
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CPI
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efficient estimator
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kernel estimator
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locally asymptotic normality
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log-likelihood ratio
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long memory
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nonstationarity
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Wald tests
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