A new hyperbolic GARCH model
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Cites work
- scientific article; zbMATH DE number 2109191 (Why is no real title available?)
- A new theorem on the existence of invariant distributions with applications to ARCH processes
- ARCH-type bilinear models with double long memory.
- Analytic Hessian matrices and the computation of FIGARCH estimates
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Modeling volatility persistence of speculative returns: a new approach
- Non-negativity conditions for the hyperbolic GARCH model
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On mixture memory GARCH models
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- On the existence of some ARCH\((\infty)\)processes
- On the threshold hyperbolic GARCH models
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- Stationarity of GARCH processes and of some nonnegative time series
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
Cited in
(19)- On the threshold hyperbolic GARCH models
- Unfolded GARCH models
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- Ian McLeod’s Contribution to Time Series Analysis—A Tribute
- Markov switch smooth transition HYGARCH model: stability and estimation
- On mixture memory GARCH models
- Stationarity and functional central limit theorem for ARCH(\(\infty\)) models
- News augmented GARCH(1,1) model for volatility prediction
- Frontiers in time series and financial econometrics: an overview
- Adaptive realized hyperbolic GARCH process: stability and estimation
- Non-negativity conditions for the hyperbolic GARCH model
- M-estimate for the stationary hyperbolic GARCH models
- A new estimator method for GARCH models
- A Skellam GARCH model
- The story of GARCH: a personal odyssey
- RCA models with GARCH innovations
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
- The stationary seasonal hyperbolic asymmetric power ARCH model
- Can GARCH Models Capture Long-Range Dependence?
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