haku: @author Kunst, R. / yhteensä: 2
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| Tekijä: | Hauser, M. Kunst, R. |
| Otsikko: | Fractionally integrated models with ARCH errors |
| Lehti: | Review of Quantitative Finance and Accounting
1998 : JAN, VOL. 10:1, p. 95-114 |
| Asiasana: | FINANCE ACCOUNTING MODELS |
| Kieli: | eng |
| Tiivistelmä: | The authors introduce ARFIMA-ARCH models, which simultaneously incorporate fractional differencing and conditional heteroscedasticity. They develop the likelihood function and use it to construct the bias-corrected maximum (modified profile) likelihood estimator. Finite-sample properties of the estimation procedure are explored by Monte Carlo simulation. Backus and Zin (1993) have motivated the existence of fractional integration in interest rates by the persistence of the short rate and the variability of the long end of the yield curve. |
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SCIMA