5 papers
Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Youssef Esstafa, Bruno Saussereau
This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily in…
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…
Estimation of multivariate asymmetric power GARCH models
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new cla…
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…
A new numerical scheme for the Zakaï equation
Bruno Saussereau
The aim of this paper is to propose a new method for numerical approximations of the solution of the linear stochastic partial differential equation arising in non-linear filtering…