Adaptive realized hyperbolic GARCH process: stability and estimation

DOI10.16929/AS/2021.2629.177zbMath1487.60066arXiv2104.14714WikidataQ115508119 ScholiaQ115508119MaRDI QIDQ2138236

El Hadji Dème, Abdou Kâ Diongue, Elhadji Sall

Publication date: 11 May 2022

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.14714

zbMATH Keywords

long memoryhigh-frequency datastructural changesrealized measuresrealized HYGARCH model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Strong limit theorems (60F15)

Cites Work

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• Modeling and Forecasting Realized Volatility
• Long memory and regime switching

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