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math.ST2013★ 1 cited
A Semiparametric Estimator for Long-Range Dependent Multivariate Processes
Guilherme Pumi, Sílvia R. C. Lopes
In this paper we propose a generalization of a class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter for long-range dependent multivariate time…
math.ST2013
MCMC Bayesian Estimation in FIEGARCH Models
Taiane S. Prass, Sílvia R. C. Lopes, Jorge A. Achcar
Bayesian inference for fractionally integrated exponential generalized autoregressive conditional heteroskedastic (FIEGARCH) models using Markov Chain Monte Carlo (MCMC) methods is…