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ISSN: 1955-611XESTIMATION OF k-FACTOR GIGARCH PROCESS: A MONTE CARLO STUDY

By A Monte Carlo Study, Abdou Kâ Diongue, Dominique Guegan, Abdou Kâ Diongue and Dominique Guégan

Abstract

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 rst 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 nite sample performance of these estimation techniques, using four di erent conditional distribution functions

Topics: Key Words, Long memory, Gegenbauer polynomial, heteroskedasticity, Conditional Sum of Squares, Whittle estimation
Year: 2008
OAI identifier: oai:CiteSeerX.psu:10.1.1.372.1755
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