Estimation of k-factor GIGARCH process : a Monte Carlo study

In this paper, we discuss the parameter estimation for a k-factor generalized long memory process with conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of Whittle's estimation approach. For comparison purposes, Monte Carlo simulations are used to evaluate the finite sample performance of these estimation techniques.

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Year of publication:	2008-01
Authors:	Diongue, Abdou Kâ ; Guegan, Dominique
Institutions:	HAL
Subject:	Long memory \| Gegenbauer polynomial \| heteeroskedasticity \| conditional sum of squares \| Whittle estimation

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00235179
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750433