Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

Keyphrases

• Time Series Model 100%
• Conditional Heteroscedasticity 100%
• Fractionally Integrated 100%
• Least Absolute Deviation Estimation 100%
• Autoregressive Moving Average 100%
• Copyright 33%
• Heavy Tails 33%
• Diagnostic Tool 33%
• Simulation Experiment 33%
• Long Memory 33%
• Closing Price 33%
• Absolute Returns 33%
• Autoregressive Integrated Moving Average (ARIMA) 33%
• Second Moment 33%
• Portmanteau Test 33%
• Asymptotic Normality 33%
• Estimation Model 33%
• Dow Jones Industrial Average 33%
• Modeling Time 33%

Mathematics

• Conditionals 100%
• Time Series Model 100%
• Heteroscedasticity 100%
• Autoregressive Integrated Moving Average 100%
• Least Absolute Deviation 100%
• Heavy Tail 33%
• Asymptotic Normality 33%
• Absolute Deviation Estimator 33%
• Estimated Model 33%
• Autoregressive Integrated Moving Average Model 33%
• Time Series Modeling 33%

Economics, Econometrics and Finance

• Time Series 100%
• ARMA Model 100%