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," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00235179, HAL.
- 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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- 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
KeywordsLong memory; Gegenbauer polynomial; heteroskedasticity; conditional sum of squares; Whittle estimation.;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-16 (All new papers)
- NEP-ECM-2008-02-16 (Econometrics)
- NEP-ETS-2008-02-16 (Econometric Time Series)
- NEP-ORE-2008-02-16 (Operations Research)
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