C. Chung, Estimating a generalized long memory process, Journal of Econometrics, vol.73, issue.1, pp.237-259, 1996.
DOI : 10.1016/0304-4076(95)01739-9

C. Chung, A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS, Journal of Time Series Analysis, vol.20, issue.2, pp.111-140, 1994.
DOI : 10.1214/aos/1176347975

A. K. Diongue and D. Guégan, Estimating parameters of a k-factor GIGARCH process, Comptes Rendus Mathematique, vol.339, issue.6, pp.435-440, 2004.
DOI : 10.1016/j.crma.2004.07.014

A. K. Diongue, D. Guégan, and B. Vignal, A k-factor GIGARCH process : estimation and application on electricity market spot prices, IEEE Proceedings of the 8 th International Conference on Probabilistic Methods Applied to Power Systems, pp.1-7, 2004.

A. K. Diongue, Modélisation longue mémoire multivariée : applications aux problématiques du producteur d'EDF dans le cadre de la libéralisation du marché européen de l'électricité, 2005.

C. Fernandez and M. F. Steel, On Bayesian modeling of fat tails and skewness, Journal of the American Statistical Association, vol.93, issue.441, pp.359-371, 1998.

L. Ferrara and D. Guégan, Comparison of parameter estimation methods in cyclical long memory time series, Developements in Forecasts Combination and Portfolio Choice, 2001.
URL : https://hal.archives-ouvertes.fr/halshs-00196426

L. Ferrara, Processus longue mémoire généralisé : estimation, prévision et applications, 2000.

L. Giraitis and R. Leipus, A generalized fractionally dierencing approach in long memory modelling, Lithuanian Mathematical Journal, vol.35, pp.65-81, 1995.

L. Giraitis and P. M. Robinson, WHITTLE ESTIMATION OF ARCH MODELS, Econometric Theory, vol.17, issue.3, pp.608-631, 2001.
DOI : 10.1017/S0266466601173056

C. W. Granger, Long memory relationships and the aggregation of dynamic models, Journal of Econometrics, vol.14, issue.2, pp.227-238, 1980.
DOI : 10.1016/0304-4076(80)90092-5

H. L. Gray, N. Zhang, and W. A. Woodward, ON GENERALIZED FRACTIONAL PROCESSES, Journal of Time Series Analysis, vol.7, issue.12, 1989.
DOI : 10.2307/2287515

D. Guégan, A new model : the k-factor GIGARCH Process, Journal of Signal Processing, vol.4, pp.265-271, 2000.

D. Guégan, A Prospective study of the k-factor Gegenbauer process with heteroscedastic errors and an application to ination rates, Finance India, vol.17, pp.1-20, 2003.

B. E. Hansen, Autoregressive Conditional Density Estimation, International Economic Review, vol.35, issue.3, pp.705-730, 1994.
DOI : 10.2307/2527081

A. C. Harvey, The econometric analysis of time series, 1981.

M. B. Jones and M. J. Faddy, A skew extension of the t-distribution, with applications, Journal of the Royal Statistical Society: Series B (Statistical Methodology), vol.36, issue.1, pp.159-174, 2003.
DOI : 10.1016/S0378-3758(99)00096-8

S. Ling and W. K. Li, On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity, Journal of the American Statistical Association, vol.18, issue.439, pp.1184-1194, 1997.
DOI : 10.1080/01621459.1997.10474076

B. B. Mandelbrot and J. W. Van-ness, Fractional Brownian Motions, Fractional Noises and Applications, SIAM Review, vol.10, issue.4, pp.422-437, 1968.
DOI : 10.1137/1010093

D. B. Nelson, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, vol.59, issue.2, pp.347-370, 1991.
DOI : 10.2307/2938260

A. Peiró, Skewness in financial returns, Journal of Banking & Finance, vol.23, issue.6, pp.847-862, 1999.
DOI : 10.1016/S0378-4266(98)00119-8

E. D. Rainville, Special functions, 1960.

M. R. Sena, V. A. Reisen, and S. R. Lopes, Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study, Communications in Statistics - Simulation and Computation, vol.2, issue.3, pp.789-802, 2006.
DOI : 10.1080/03610910600716928

Y. Yajima, Estimation of the frequency of unbounded spectral densities, Proceedings of the Business and Economic Statistical Section 4-7, 1996.