The stationary seasonal hyperbolic asymmetric power ARCH model

DOI10.1016/j.spl.2007.02.007zbMath1325.62163MaRDI QIDQ2643390

Dominique Guégan, Abdou Kâ Diongue

Publication date: 23 August 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00179275/file/Guegan-Diongue_Stat_-et-proba-letters_2007.pdf

zbMATH Keywords

seasonality; persistence; long memory; asymmetric; leptokurtosis; hyperbolic behavior

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

62F10: Point estimation

Related Items

Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients, Non-negativity conditions for the hyperbolic GARCH model, Stationarity and functional central limit theorem for ARCH(\(\infty\)) models, Adaptive realized hyperbolic GARCH process: stability and estimation, Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation

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