Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA-GARCH Models
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- Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015.
"Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
- Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets," Working Paper 1309, Economics Department, Queen's University.
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
- Shiqing Ling & Michael McAleer, 2010.
"A general asymptotic theory for time‐series models,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(1), pages 97-111, February.
- Shiqing Ling & Michael McAleer, 2009. "A General Asymptotic Theory for Time Series Models," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo.
- Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017.
"Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form,"
Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
- Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers 2017-02, Department of Economics and Business Economics, Aarhus University.
- Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024.
"Time-varying multivariate causal processes,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Papers 2206.00409, arXiv.org.
- Mustafa Salamh & Liqun Wang, 2021. "Second-Order Least Squares Estimation in Nonlinear Time Series Models with ARCH Errors," Econometrics, MDPI, vol. 9(4), pages 1-17, November.
- Shiqing Ling & Ke Zhu, 2022. "Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models," JRFM, MDPI, vol. 15(2), pages 1-17, February.
- Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Monash Econometrics and Business Statistics Working Papers 8/22, Monash University, Department of Econometrics and Business Statistics.
- Chan, Ngai Hang & Zhang, Rong-Mao, 2013. "Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 18-33.
- Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Singh, Ranjodh B. & Gould, John & Chan, Felix & Yang, Joey Wenling, 2016. "Liquidation discount—a novel application of ARFIMA–GARCH," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 151-161.
- Zhang, Rong-Mao & Sin, Chor-yiu (CY) & Ling, Shiqing, 2015. "On functional limits of short- and long-memory linear processes with GARCH(1,1) noises," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 482-512.
- Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, vol. 165(2), pages 246-257.
- Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
- Yacouba Boubacar Maïnassara & Youssef Esstafa & Bruno Saussereau, 2021. "Estimating FARIMA models with uncorrelated but non-independent error terms," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 549-608, October.
- Robinson, Peter, 2004. "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics 2126, London School of Economics and Political Science, LSE Library.
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