On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity

Keyphrases

• American Statistical Association 50%
• Approximate Maximum Likelihood Estimator 50%
• ARMA Model 50%
• Asymptotic Normality 50%
• Asymptotic Properties 50%
• Autoregressive Moving Average 100%
• Conditional Heteroscedasticity 100%
• Copyright 50%
• Daily Returns 50%
• FARIMA 50%
• Fractional Differencing 50%
• Fractionally Integrated 100%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 100%
• Hang Seng Index 50%
• Higher-order Moments 50%
• Hong Kong 50%
• Large Sample Distributions 50%
• Maximum Likelihood Estimator 50%
• Model Adequacy 50%
• Popular 50%
• Portmanteau Test Statistics 50%
• Residual Autocorrelation 100%
• Stationarity 50%
• Time Series Model 100%
• Unit Root 50%

Mathematics

• Approximates 25%
• Asymptotic Normality 25%
• Asymptotic Property 25%
• Autocorrelation 50%
• Autoregressive Integrated Moving Average 100%
• Conditionals 100%
• Ergodicity 25%
• Hang Seng Index 25%
• Heteroscedasticity 100%
• Maximum Likelihood Estimation 25%
• Maximum Likelihood Estimator 25%
• Residuals 50%
• Root Case 25%
• Sample Distribution 25%
• Stationarity 25%
• Sufficient Condition 25%
• Test Statistic 25%
• Time Series Model 100%