Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
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Publication:1931360
DOI10.1016/j.jspi.2012.10.002zbMath1428.62382OpenAlexW1973777781MaRDI QIDQ1931360
Publication date: 25 January 2013
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2012.10.002
asymptotic normalitystationarityARFIMA-GARCHself-weighted quasi-maximum exponential likelihood estimator
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)
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