Asymptotic theory for fractionally integrated asymmetric power ARCH models
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Publication:452996
DOI10.1016/j.jspi.2012.04.004zbMath1335.62146MaRDI QIDQ452996
Kazuhiko Shinki, Zhengjun Zhang
Publication date: 18 September 2012
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.2012.04.004
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- GARCH processes: structure and estimation
- The efficiency of the estimators of the parameters in GARCH processes.
- Modeling and pricing long memory in stock market volatility
- On the existence of some ARCH\((\infty)\)processes
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- Estimating Long Memory in Volatility