Statistical inference for FIGARCH and related models.

Statistical inference for FIGARCH and related models.

A major objective of this thesis is to study the statistical inference problem for GARCH-type models, including fractionally-integrated (FI) GARCH, fractional (F) GARCH, long-memory (LM) GARCH, and non-stationary GARCH models. === Among various types of generalizations to the ARCH models, fractional...

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Bibliographic Details
Other Authors: Ng, Chi Tim.
Format: Others
Language:English
Chinese
Published: 2007
Subjects:
Autoregression (Statistics)
Econometric models
Heteroscedasticity
Time-series analysis
Online Access:http://library.cuhk.edu.hk/record=b6074359
http://repository.lib.cuhk.edu.hk/en/item/cuhk-343988

Internet

http://library.cuhk.edu.hk/record=b6074359
http://repository.lib.cuhk.edu.hk/en/item/cuhk-343988

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