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A goodness-of-fit test for ARCH (∞) models
Hidalgo, Javier; Zaffaroni, Paolo - In: Journal of econometrics 141 (2007) 2, pp. 835-875
Persistent link: https://www.econbiz.de/10003571360
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A goodness-of-fit test for ARCH (∞) models
Hidalgo, Javier; Zaffaroni, Paolo - In: Journal of econometrics 141 (2007) 2, pp. 973-1013
Persistent link: https://www.econbiz.de/10003572339
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A model for long memory conditional heteroscedasticity
Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 2000
Persistent link: https://www.econbiz.de/10001490719
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Whittle estimation of ARCH models
Giraitis, Liudas; Robinson, Peter M. - 2000
Persistent link: https://www.econbiz.de/10001551057
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Whittle estimation of ARCH models
Giraitis, Liudas; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 608-631
Persistent link: https://www.econbiz.de/10001589340
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LARCH, leverage, and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 177-210
Persistent link: https://www.econbiz.de/10002214253
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Pseudo-maximum likelihood estimation of ARCH(∞) models
Robinson, Peter M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003164285
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LARCH, leverage and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - 2003
Persistent link: https://www.econbiz.de/10001818318