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Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA-GARCH Models

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  • Ling S.

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  • Ling S., 2003. "Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA-GARCH Models," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 955-967, January.
    • Handle: RePEc:bes:jnlasa:v:98:y:2003:p:955-967
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    Cited by:

    1. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
    2. Shiqing Ling & Michael McAleer, 2010. "A general asymptotic theory for time‐series models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(1), pages 97-111, February.
    3. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
    4. Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Papers 2206.00409, arXiv.org.
    5. Mustafa Salamh & Liqun Wang, 2021. "Second-Order Least Squares Estimation in Nonlinear Time Series Models with ARCH Errors," Econometrics, MDPI, vol. 9(4), pages 1-17, November.
    6. Shiqing Ling & Ke Zhu, 2022. "Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models," JRFM, MDPI, vol. 15(2), pages 1-17, February.
    7. Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Monash Econometrics and Business Statistics Working Papers 8/22, Monash University, Department of Econometrics and Business Statistics.
    8. Chan, Ngai Hang & Zhang, Rong-Mao, 2013. "Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 18-33.
    9. Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Singh, Ranjodh B. & Gould, John & Chan, Felix & Yang, Joey Wenling, 2016. "Liquidation discount—a novel application of ARFIMA–GARCH," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 151-161.
    11. Zhang, Rong-Mao & Sin, Chor-yiu (CY) & Ling, Shiqing, 2015. "On functional limits of short- and long-memory linear processes with GARCH(1,1) noises," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 482-512.
    12. Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, vol. 165(2), pages 246-257.
    13. Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
    14. Yacouba Boubacar Maïnassara & Youssef Esstafa & Bruno Saussereau, 2021. "Estimating FARIMA models with uncorrelated but non-independent error terms," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 549-608, October.
    15. Robinson, Peter, 2004. "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics 2126, London School of Economics and Political Science, LSE Library.

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