no code implementations • 29 Nov 2019 • 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 independent (i. e. weak FARIMA).
no code implementations • 16 Oct 2019 • 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 that the errors are uncorrelated but not necessarily independent nor martingale differences.
Applications Statistics Theory Statistics Theory
no code implementations • 5 Dec 2018 • 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 class of multivariate power transformed asymmetric models.
no code implementations • 21 Nov 2018 • 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.