• Title of article

    Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models

  • Author/Authors

    Pan، نويسنده , , Baoguo and Chen، نويسنده , , Min، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2013
  • Pages
    14
  • From page
    716
  • To page
    729
  • Abstract
    In this paper, a local self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models is proposed, asymptotic normality of this estimator is derived under the existence of second moment including stationary and non-stationary cases. A simulation study is given to evaluate the performance of the proposed self-weighted QMELE under the stationary case.
  • Keywords
    ARFIMA-GARCH , Self-weighted quasi-maximum exponential likelihood estimator , Asymptotic normality , Stationarity
  • Journal title
    Journal of Statistical Planning and Inference
  • Serial Year
    2013
  • Journal title
    Journal of Statistical Planning and Inference
  • Record number

    2222281

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=2222281