Asymptotic theory for fractionally integrated asymmetric power ARCH models

DOI10.1016/J.JSPI.2012.04.004zbMATH Open1335.62146OpenAlexW2072097584MaRDI QIDQ452996FDOQ452996

Authors: 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

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zbMATH Keywords

time seriesGARCHlong memoryquasi-maximum likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Modeling and pricing long memory in stock market volatility
• GARCH processes: structure and estimation
• The efficiency of the estimators of the parameters in GARCH processes.
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• On the existence of some ARCH\((\infty)\)processes
• Estimating Long Memory in Volatility

Cited In (3)

• Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
• Optimal alarm systems for FIAPARCH processes
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing

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