Estimation of k-Factor GIGARCH process: A Monte Carlo study
| Data(s) |
2008
|
|---|---|
| Identificador | |
| Publicador |
Taylor and Francis Inc. |
| Relação |
Diongue, Abdou Ka & Guegan, Dominique (2008) Estimation of k-Factor GIGARCH process: A Monte Carlo study. Communications in Statistics: Simulation and Computation, 37(10), pp. 2037-2049. |
| Fonte |
QUT Business School; School of Economics & Finance |
| Palavras-Chave | #Conditional sum of squares, Gegenbauer polynomial, Heteroskedasticity, Long memory, Whittle estimation |
| Tipo |
Journal Article |
