{"id":"https://openalex.org/W2067888201","doi":"https://doi.org/10.1080/03610910802304994","title":"Estimation of <i>k</i> -Factor GIGARCH Process: A Monte Carlo Study","display_name":"Estimation of <i>k</i> -Factor GIGARCH Process: A Monte Carlo Study","publication_year":2008,"publication_date":"2008-10-13","ids":{"openalex":"https://openalex.org/W2067888201","doi":"https://doi.org/10.1080/03610910802304994","mag":"2067888201"},"language":"en","primary_location":{"id":"doi:10.1080/03610910802304994","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910802304994","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://shs.hal.science/halshs-00375758","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5108544841","display_name":"Abdou K\u00e2 Diongue","orcid":null},"institutions":[{"id":"https://openalex.org/I112713213","display_name":"Universit\u00e9 Gaston Berger","ror":"https://ror.org/01jp0tk64","country_code":"SN","type":"education","lineage":["https://openalex.org/I112713213"]},{"id":"https://openalex.org/I160993911","display_name":"Queensland University of Technology","ror":"https://ror.org/03pnv4752","country_code":"AU","type":"education","lineage":["https://openalex.org/I160993911"]}],"countries":["AU","SN"],"is_corresponding":true,"raw_author_name":"Abdou K\u00e2 Diongue","raw_affiliation_strings":["Queensland University of Technology","UFR SAT, Universit\u00e9 Gaston Berger, Saint-Louis, S\u00e9n\u00e9gal, and School of Economics and Finance , Queensland University of Technology , Brisbane, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Queensland University of Technology","institution_ids":["https://openalex.org/I160993911"]},{"raw_affiliation_string":"UFR SAT, Universit\u00e9 Gaston Berger, Saint-Louis, S\u00e9n\u00e9gal, and School of Economics and Finance , Queensland University of Technology , Brisbane, Australia","institution_ids":["https://openalex.org/I112713213","https://openalex.org/I160993911"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111434918","display_name":"Dominique Gu\u00e9gan","orcid":null},"institutions":[{"id":"https://openalex.org/I51101395","display_name":"Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne","ror":"https://ror.org/002t25c44","country_code":"FR","type":"education","lineage":["https://openalex.org/I51101395"]},{"id":"https://openalex.org/I57995698","display_name":"Paris School of Economics","ror":"https://ror.org/01qtp1053","country_code":"FR","type":"education","lineage":["https://openalex.org/I1294671590","https://openalex.org/I142631665","https://openalex.org/I2746051580","https://openalex.org/I29607241","https://openalex.org/I4210088668","https://openalex.org/I4210145102","https://openalex.org/I51101395","https://openalex.org/I57995698","https://openalex.org/I90669466"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Dominique Gu\u00e9gan","raw_affiliation_strings":["MSE \u2013 Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne","Centre Economique de la Sorbonne (CES) and Paris School of Economics (PSE) , MSE \u2013 Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne , Paris, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"MSE \u2013 Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne","institution_ids":["https://openalex.org/I51101395"]},{"raw_affiliation_string":"Centre Economique de la Sorbonne (CES) and Paris School of Economics (PSE) , MSE \u2013 Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne , Paris, France","institution_ids":["https://openalex.org/I51101395","https://openalex.org/I57995698"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5108544841"],"corresponding_institution_ids":["https://openalex.org/I112713213","https://openalex.org/I160993911"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.18321908,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"37","issue":"10","first_page":"2037","last_page":"2049"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9983000159263611,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9979000091552734,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"Heteroscedasticity","score":0.7324320673942566},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.7143546938896179},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.5097026824951172},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4841535687446594},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.47772881388664246},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4555962085723877},{"id":"https://openalex.org/keywords/process","display_name":"Process (computing)","score":0.4191704988479614},{"id":"https://openalex.org/keywords/monte-carlo-method-in-statistical-physics","display_name":"Monte Carlo method in statistical physics","score":0.41853073239326477},{"id":"https://openalex.org/keywords/factor","display_name":"Factor (programming language)","score":0.4162411093711853},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3564690053462982},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3276403546333313},{"id":"https://openalex.org/keywords/hybrid-monte-carlo","display_name":"Hybrid Monte Carlo","score":0.31648480892181396},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.25223004817962646},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.09698355197906494}],"concepts":[{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.7324320673942566},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7143546938896179},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.5097026824951172},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4841535687446594},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.47772881388664246},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4555962085723877},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.4191704988479614},{"id":"https://openalex.org/C204493344","wikidata":"https://www.wikidata.org/wiki/Q6904698","display_name":"Monte Carlo method in statistical physics","level":5,"score":0.41853073239326477},{"id":"https://openalex.org/C2781039887","wikidata":"https://www.wikidata.org/wiki/Q1391724","display_name":"Factor (programming language)","level":2,"score":0.4162411093711853},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3564690053462982},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3276403546333313},{"id":"https://openalex.org/C13153151","wikidata":"https://www.wikidata.org/wiki/Q1639846","display_name":"Hybrid Monte Carlo","level":4,"score":0.31648480892181396},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.25223004817962646},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.09698355197906494},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C201995342","wikidata":"https://www.wikidata.org/wiki/Q682496","display_name":"Systems engineering","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1080/03610910802304994","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910802304994","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.1022.4252","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1022.4252","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://halshs.archives-ouvertes.fr/file/index/docid/375758/filename/diongue-guegan_CSSC.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.1029.7276","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1029.7276","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://halshs.archives-ouvertes.fr/file/index/docid/235179/filename/B08004.pdf","raw_type":"text"},{"id":"pmh:oai:HAL:halshs-00375758v1","is_oa":true,"landing_page_url":"https://shs.hal.science/halshs-00375758","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Communications in Statistics - Simulation and Computation, 2008, 37 (10), pp.2037-2049. &#x27E8;10.1080/03610910802304994&#x27E9;","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:hal:cesptp:halshs-00375758","is_oa":false,"landing_page_url":"https://shs.hal.science/halshs-00375758v1/document","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":{"id":"pmh:oai:HAL:halshs-00375758v1","is_oa":true,"landing_page_url":"https://shs.hal.science/halshs-00375758","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Communications in Statistics - Simulation and Computation, 2008, 37 (10), pp.2037-2049. &#x27E8;10.1080/03610910802304994&#x27E9;","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W20645781","https://openalex.org/W75615350","https://openalex.org/W148772109","https://openalex.org/W248107689","https://openalex.org/W1571381357","https://openalex.org/W1639275303","https://openalex.org/W1971452322","https://openalex.org/W1982914322","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2010536381","https://openalex.org/W2012431222","https://openalex.org/W2015116483","https://openalex.org/W2023718188","https://openalex.org/W2026580305","https://openalex.org/W2031753087","https://openalex.org/W2031932619","https://openalex.org/W2034661498","https://openalex.org/W2039020632","https://openalex.org/W2062053579","https://openalex.org/W2069317099","https://openalex.org/W2084537820","https://openalex.org/W2092871037","https://openalex.org/W2124357853","https://openalex.org/W2139802599","https://openalex.org/W2156273867","https://openalex.org/W2159694387","https://openalex.org/W2243006320","https://openalex.org/W2319085245","https://openalex.org/W2798264002","https://openalex.org/W3016238399","https://openalex.org/W3020979731","https://openalex.org/W3121736584","https://openalex.org/W4247462016","https://openalex.org/W4248244495","https://openalex.org/W4299784281"],"related_works":["https://openalex.org/W916027","https://openalex.org/W4367155567","https://openalex.org/W2035081607","https://openalex.org/W3016994204","https://openalex.org/W2995266518","https://openalex.org/W2016177419","https://openalex.org/W2019600130","https://openalex.org/W4248057375","https://openalex.org/W2962721303","https://openalex.org/W2042464293"],"abstract_inverted_index":{"In":[0],"this":[1],"article,":[2],"we":[3],"discuss":[4],"the":[5,29,33,36,57],"parameter":[6],"estimation":[7,19,45,63],"for":[8],"a":[9],"k-factor":[10],"generalized":[11],"long-memory":[12],"process":[13,34],"with":[14],"conditionally":[15],"heteroskedastic":[16],"noise.":[17],"Two":[18],"methods":[20],"are":[21,53],"proposed.":[22],"The":[23],"first":[24],"method":[25],"is":[26,38],"based":[27],"on":[28],"conditional":[30,68],"distribution":[31,69],"of":[32,43,61],"and":[35],"second":[37],"obtained":[39],"as":[40],"an":[41],"extension":[42],"Whittle's":[44],"approach.":[46],"For":[47],"comparison":[48],"purposes,":[49],"Monte":[50],"Carlo":[51],"simulations":[52],"used":[54],"to":[55],"evaluate":[56],"finite":[58],"sample":[59],"performance":[60],"these":[62],"techniques,":[64],"using":[65],"four":[66],"different":[67],"functions.":[70]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-07-29T09:40:50.615796","created_date":"2025-10-10T00:00:00"}