On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
From MaRDI portal
Publication:1927143
DOI10.1016/j.csda.2010.07.010zbMath1255.62261MaRDI QIDQ1927143
Guodong Li, Wilson C. Kwan, Wai Keung Li
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.010
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
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