• Title of article

    Asymptotic theory for fractionally integrated asymmetric power ARCH models

  • Author/Authors

    Shinki، نويسنده , , Kazuhiko and Zhang، نويسنده , , Zhengjun، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2012
  • Pages
    20
  • From page
    2871
  • To page
    2890
  • Abstract
    Consistency and asymptotic normality of quasi-maximum likelihood estimators (QMLEs) for the fractionally integrated asymmetric power ARCH (FIAPARCH) process are proved. The moment conditions are assumed only for standardized errors. We show the properties for a wide range of QMLEs including Gaussian QMLE.
  • Keywords
    Quasi-maximum likelihood , Time series , Long memory , GARCH
  • Journal title
    Journal of Statistical Planning and Inference
  • Serial Year
    2012
  • Journal title
    Journal of Statistical Planning and Inference
  • Record number

    2222118

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=2222118