Modelling financial time series with SEMIFAR GARCH model

DOI10.1093/IMAMAN/DPM024MaRDI QIDQ5432709zbMATH OpenOpenAlexFDO

Authors Yuanhua Feng, Jan Beran, Keming Yu

Publication date 18 December 2007

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpm024

zbMATH Keywords

asymptotic propertyfinancial time seriesGARCH modelkernel estimationparameter estimationSEMIFAR model

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Semiparametric regression with a FARIMA-GARCH error process: theory and application
• Stable GARCH models for financial time series
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
• Semi- and nonparametric ARCH processes

Cited in

(5)

• SEMIFAR forecasts, with applications to foreign exchange rates.
• Long memory with stochastic variance model: a recursive analysis for US inflation
• Optimal convergence rates in non-parametric regression with fractional time series errors
• Semi-parametric estimation and forecasting for exogenous log-GARCH models
• Semiparametric regression with a FARIMA-GARCH error process: theory and application

This page was built for publication: Modelling financial time series with SEMIFAR GARCH model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5432709)