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

Cited in

(80)

Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
Modelling the asymmetric volatility of electronics patents in the USA.
On adaptive estimation in nonstationary ARMA models with GARCH errors
SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
Comparison of specification tests for GARCH models
Fractionally differenced Gegenbauer processes with long memory: a review
Identification and validation of stable ARFIMA processes with application to UMTS data
Efficient computation of multiscale entropy over short biomedical time series based on linear state-space models
On model Fitting and estimation of strictly stationary processes
Serial independence tests for innovations of conditional mean and variance models
Goodness-of-fit tests for Log-GARCH and EGARCH models
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
ARCH-type bilinear models with double long memory.
On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
The ARMA alphabet soup: a tour of ARMA model variants
Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
Forecasting volatility in bitcoin market
Estimation methods for stationary Gegenbauer processes
Portmanteau test for the asymmetric power GARCH model when the power is unknown
Estimating FARIMA models with uncorrelated but non-independent error terms
Testing linearity in semi-parametric functional data analysis
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Comparative analysis of risk ratings for the East European region
Fitting an error distribution in some heteroscedastic time series models
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
Testing for change points in time series models and limiting theorems for NED sequences
An econometric analysis of asymmetric volatility: theory and application to patents
Fitting non-Gaussian persistent data
Local Whittle estimation of fractional integration for nonlinear processes
Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
Parameter estimation in nonlinear AR-GARCH models
Parametric inference in stationary time series models with dependent errors
TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
SEMI‐PARAMETRIC ANALYSIS OF COVARIANCE UNDER DEPENDENCE CONDITIONS WITHIN EACH GROUP
Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
A generalized portmanteau test for independence between two stationary time series
Nonstationarity-extended Whittle estimation
Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
Asymptotic theory for a vector ARMA-GARCH model
Asymptotics for GARCH squared residual correlations
Asymptotic inference for unit root processes with GARCH(1,1) errors
Local linear fitting under near epoch dependence
Constancy test for FARIMA long memory processes
SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
On dynamics of volatilities in nonstationary GARCH models
Ian McLeod’s Contribution to Time Series Analysis—A Tribute
Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS
Adaptive long memory testing under heteroskedasticity
Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
Sample path properties of an explosive double autoregressive model
Expectation identities from integration by parts for univariate continuous random variables with applications to high-order moments
Portmanteau test for a class of multivariate asymmetric power GARCH model
Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
Extremal Dependence-Based Specification Testing of Time Series
Long-range dependence and rational Gaussian noise
Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data
A long memory model with normal mixture GARCH
A general asymptotic theory for time-series models
Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
Adaptive Inference in Heteroscedastic Fractional Time Series Models
Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
Spatio-temporal analysis of dependent risk with an application to cyberattacks data
Modeling high-frequency data with long memory: the FICARR model
Strong laws for nonstationary GARCH models
BRC-GARCH-X model: the empirical evidence in stock returns
A wavelet-based approach for modelling exchange rates
A two-step estimating approach for heavy-tailed AR models with nonzero median GARCH-type noises
Portmanteau tests for semiparametric nonlinear conditionally heteroscedastic time series models
Score test of fit for composite hypothesis in the GARCH\((1,1)\) model
The asymptotic convexity of the negative likelihood function of GARCH models
Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations

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