Adaptive realized hyperbolic GARCH process: stability and estimation
From MaRDI portal
Publication:2138236
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
Cites Work
- Breaks and persistency: macroeconomic causes of stock market volatility
- A new hyperbolic GARCH model
- Inertia characteristics of self-adjoint matrix polynomials
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Varieties of long memory models
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- The stationary seasonal hyperbolic asymmetric power ARCH model
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Modeling and Forecasting Realized Volatility
- Long memory and regime switching
This page was built for publication: Adaptive realized hyperbolic GARCH process: stability and estimation