Yau Chun-Yip. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 64-65). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Fractional Integration --- p.1 / Chapter 1.2 --- Fractionally Intergrated Autoregressive Moving-Average Models With Conditional Heteroscedasticity --- p.6 / Chapter 1.3 --- Empirical Likelihood --- p.8 / Chapter 2 --- Whittle Likelihood Estimation in Long-Memory Time Series --- p.13 / Chapter 2.1 --- Exact Gaussian Maximum likelihood Estimation --- p.13 / Chapter 2.2 --- Whittle's approximate MLE --- p.16 / Chapter 3 --- Empirical Likelihood For ARFIMA models --- p.20 / Chapter 4 --- Empirical Likelihood For ARFIMA-GARCH models --- p.40 / Chapter 4.1 --- Empirical likelihood for GARCH models --- p.40 / Chapter 4.2 --- Empirical likelihood for ARFIMA-GARCH models --- p.44 / Chapter 5 --- Simulation --- p.48 / Chapter 5.1 --- Test of independece for periodogram ordinates --- p.49 / Chapter 5.2 --- Confidence Region --- p.53 / Chapter 5.3 --- Coverage error of empirical likelihood confidence intervals --- p.57 / Chapter 6 --- Conclusions and Further Research --- p.62 / Reference --- p.64
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325506 |
| Date | January 2006 |
| Contributors | Yau, Chun-Yip., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 65 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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