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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|Item Type:||Journal Article|
|Keywords:||Conditional sum of squares, Gegenbauer polynomial, Heteroskedasticity, Long memory, Whittle estimation|
|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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