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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

  • Published:2017-05 Issue:1 Volume:198 Page:165-188
  • ISSN:0304-4076
  • Container-title:Journal of Econometrics
  • language:en
  • Short-container-title:Journal of Econometrics

Author:

Cavaliere Giuseppe,Nielsen Morten Ørregaard,Taylor A.M. Robert

Funder

National Research Foundation

Sapere Aude|DFF

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference52 articles.

1. Lagrange multiplier tests for fractional difference;Agiakloglou;J. Time Series Anal.,1994

2. Modelling changes in the unconditional variance of long stock return series;Amado;J. Empir. Finan.,2014

3. Estimation when a parameter is on a boundary;Andrews;Econometrica,1999

4. Analyzing inflation by the fractionally integrated ARFIMA-GARCH model;Baillie;J. Appl. Econometrics,1996

5. Convergence of Probability Measures;Billingsley,1968

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