Estimation of k-factor GIGARCH process : a Monte Carlo study
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- Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08004, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Diongue Abdou Ka & Dominique Guegan, 2008. "Estimation of k-Factor Gigarch Process: A Monte Carlo Study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375758, HAL.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Heni Boubaker, 2015. "Wavelet Estimation of Gegenbauer Processes: Simulation and Empirical Application," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 551-574, December.
More about this item
KeywordsWhittle estimation; Long memory; Gegenbauer polynomial; heteeroskedasticity; conditional sum of squares; Whittle estimation.; Processus longue mémoire; hétéroscédasticité; estimation; Whittle.;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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