FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4381837404> ?p ?o ?g. }

• W4381837404 endingPage "34" @default.
• W4381837404 startingPage "1" @default.
• W4381837404 abstract "In GARCH-mixed-data sampling models, the volatility is decomposed into the product of two factors which are often interpreted as “short-run” (high-frequency) and “long-run” (low-frequency) components. While two-component volatility models are widely used in applied works, some of their theoretical properties remain unexplored. We show that the strictly stationary solutions of such models do not admit any small-order finite moment, contrary to classical GARCH. It is shown that the strong consistency and the asymptotic normality of the quasi-maximum likelihood estimator hold despite the absence of moments. Tests for the presence of a long-run volatility relying on the asymptotic theory and a bootstrap procedure are proposed. Our results are illustrated via Monte Carlo experiments and real financial data." @default.
• W4381837404 created "2023-06-25" @default.
• W4381837404 creator A5027881244 @default.
• W4381837404 creator A5068286603 @default.
• W4381837404 creator A5092250278 @default.
• W4381837404 date "2023-05-12" @default.
• W4381837404 modified "2023-10-16" @default.
• W4381837404 title "INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT" @default.
• W4381837404 cites W1594572042 @default.
• W4381837404 cites W1955327913 @default.
• W4381837404 cites W1974747673 @default.
• W4381837404 cites W1989670262 @default.
• W4381837404 cites W1994411832 @default.
• W4381837404 cites W1996647451 @default.
• W4381837404 cites W2000303290 @default.
• W4381837404 cites W2002238002 @default.
• W4381837404 cites W2011990637 @default.
• W4381837404 cites W2049404706 @default.
• W4381837404 cites W2056864097 @default.
• W4381837404 cites W2065194732 @default.
• W4381837404 cites W2075597681 @default.
• W4381837404 cites W2100084310 @default.
• W4381837404 cites W2108075367 @default.
• W4381837404 cites W2110617809 @default.
• W4381837404 cites W2167162925 @default.
• W4381837404 cites W2172097605 @default.
• W4381837404 cites W2326968956 @default.
• W4381837404 cites W2800896112 @default.
• W4381837404 cites W2908278257 @default.
• W4381837404 cites W3009903813 @default.
• W4381837404 cites W3033438119 @default.
• W4381837404 cites W3034324573 @default.
• W4381837404 cites W3105105114 @default.
• W4381837404 cites W3158117535 @default.
• W4381837404 cites W4246784033 @default.
• W4381837404 cites W4254913624 @default.
• W4381837404 doi "https://doi.org/10.1017/s0266466623000142" @default.
• W4381837404 hasPublicationYear "2023" @default.
• W4381837404 type Work @default.
• W4381837404 citedByCount "1" @default.
• W4381837404 crossrefType "journal-article" @default.
• W4381837404 hasAuthorship W4381837404A5027881244 @default.
• W4381837404 hasAuthorship W4381837404A5068286603 @default.
• W4381837404 hasAuthorship W4381837404A5092250278 @default.
• W4381837404 hasConcept C105795698 @default.
• W4381837404 hasConcept C121332964 @default.
• W4381837404 hasConcept C149782125 @default.
• W4381837404 hasConcept C154945302 @default.
• W4381837404 hasConcept C179254644 @default.
• W4381837404 hasConcept C185429906 @default.
• W4381837404 hasConcept C19499675 @default.
• W4381837404 hasConcept C23922673 @default.
• W4381837404 hasConcept C2524010 @default.
• W4381837404 hasConcept C2776214188 @default.
• W4381837404 hasConcept C2776436953 @default.
• W4381837404 hasConcept C2779793024 @default.
• W4381837404 hasConcept C28826006 @default.
• W4381837404 hasConcept C31388003 @default.
• W4381837404 hasConcept C33923547 @default.
• W4381837404 hasConcept C41008148 @default.
• W4381837404 hasConcept C65778772 @default.
• W4381837404 hasConcept C74650414 @default.
• W4381837404 hasConcept C85393063 @default.
• W4381837404 hasConcept C91602232 @default.
• W4381837404 hasConceptScore W4381837404C105795698 @default.
• W4381837404 hasConceptScore W4381837404C121332964 @default.
• W4381837404 hasConceptScore W4381837404C149782125 @default.
• W4381837404 hasConceptScore W4381837404C154945302 @default.
• W4381837404 hasConceptScore W4381837404C179254644 @default.
• W4381837404 hasConceptScore W4381837404C185429906 @default.
• W4381837404 hasConceptScore W4381837404C19499675 @default.
• W4381837404 hasConceptScore W4381837404C23922673 @default.
• W4381837404 hasConceptScore W4381837404C2524010 @default.
• W4381837404 hasConceptScore W4381837404C2776214188 @default.
• W4381837404 hasConceptScore W4381837404C2776436953 @default.
• W4381837404 hasConceptScore W4381837404C2779793024 @default.
• W4381837404 hasConceptScore W4381837404C28826006 @default.
• W4381837404 hasConceptScore W4381837404C31388003 @default.
• W4381837404 hasConceptScore W4381837404C33923547 @default.
• W4381837404 hasConceptScore W4381837404C41008148 @default.
• W4381837404 hasConceptScore W4381837404C65778772 @default.
• W4381837404 hasConceptScore W4381837404C74650414 @default.
• W4381837404 hasConceptScore W4381837404C85393063 @default.
• W4381837404 hasConceptScore W4381837404C91602232 @default.
• W4381837404 hasLocation W43818374041 @default.
• W4381837404 hasOpenAccess W4381837404 @default.
• W4381837404 hasPrimaryLocation W43818374041 @default.
• W4381837404 hasRelatedWork W1612669243 @default.
• W4381837404 hasRelatedWork W1987620537 @default.
• W4381837404 hasRelatedWork W2059195284 @default.
• W4381837404 hasRelatedWork W2103502740 @default.
• W4381837404 hasRelatedWork W2140985786 @default.
• W4381837404 hasRelatedWork W3021432157 @default.
• W4381837404 hasRelatedWork W3038148589 @default.
• W4381837404 hasRelatedWork W3123593911 @default.
• W4381837404 hasRelatedWork W3134992018 @default.
• W4381837404 hasRelatedWork W4225414656 @default.
• W4381837404 isParatext "false" @default.

• next