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

Journal of the American Statistical Association

Volumn 92, Issue 439, 1997, Pages 1184-1194

  Ling, Shiqing ^a   Li, W K ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Fractional differencing; Maximum likelihood estimation; Portmanteau tests; Stationarity and ergodicity

Indexed keywords

EID: 21744436141     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.1997.10474076     Document Type: Article

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