Estimation of k-Factor GIGARCH process: A Monte Carlo study

Diongue, Abdou Ka & Guegan, Dominique (2008) Estimation of k-Factor GIGARCH process: A Monte Carlo study. Communications in Statistics: Simulation and Computation, 37(10), pp. 2037-2049.

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3 citations in Scopus
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3 citations in Web of Science®

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ID Code: 30724
Item Type: Journal Article
Refereed: Yes
Keywords: Conditional sum of squares, Gegenbauer polynomial, Heteroskedasticity, Long memory, Whittle estimation
ISSN: 0361-0918
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 12 Feb 2010 12:45
Last Modified: 10 Aug 2011 14:25

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