GARCH-type Models with Generalized Secant Hyperbolic Innovations

DOI10.2202/1558-3708.1212MaRDI QIDQ3368338zbMATH OpenOpenAlexFDO

Authors Paola Palmitesta, Corrado Provasi

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1212

zbMATH Keywords

asymmetric power ARCH (APARCH) modelgeneralized secant hyperbolic distributiontime series returns

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(9)

• RCA models with GARCH innovations
• Generalized hyperbolic secant distributions. With applications to finance
• Aggregation of dependent risks using the Koehler-Symanowski copula function
• GSH dependence modeling with an application to risk management
• BL-GARCH models with elliptical distributed innovations
• RCA model with quadratic GARCH innovation distribution
• The generalized Gudermannian distribution: inference and volatility modelling
• Non-negativity conditions for the hyperbolic GARCH model
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns

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Uses Software

• mathStatica

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