3 papers
stat.AP2019
Estimating FARIMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Youssef Esstafa, Bruno Saussereau
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of fractionally integrated autoregressive moving-average (FARIMA) models under the assumption…
math.ST2019
Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Abdoulkarim Ilmi Amir
In this paper we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving-average (SARMA) models under the assumption that the errors ar…
math.ST2018
Portmanteau test for the asymmetric power GARCH model when the power is unknown
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic beha…