On the estimation and diagnostic checking of the ARFIMA–HYGARCH model

descriptionPublicationkeyboard_double_arrow_right Article 01 Nov 2012 China (People's Republic of) English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 56, pages 3,632-3,644 (issn: 0167-9473,

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Authors: Wilson Kwan; Wai Keung Li; Guodong Li;

doi: 10.1016/j.csda.2010.07.010

handle: 10722/172499

On the estimation and diagnostic checking of the ARFIMA–HYGARCH model

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Abstract

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Country

China (People's Republic of)

Related Organizations

Hong Kong Polytechnic University
China (People's Republic of)
University of Hong Kong
China (People's Republic of)
University of Hong Kong (香港大學)
China (People's Republic of)

Keywords

portmanteau test, Asymptotic distribution theory in statistics, Computational problems in statistics, Asymptotic distributions, 310, Parametric hypothesis testing, long memory in volatility, Auto-regressive integrated moving average, Time series, auto-correlation, regression, etc. in statistics (GARCH), Asymptotic properties, Asymptotic normality, Conditional means, Asymptotic properties of parametric estimators

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