Modelling financial time series with SEMIFAR GARCH model

DOI10.1093/imaman/dpm024zbMath1152.91509OpenAlexW2152568397MaRDI QIDQ5432709

Jan Beran, Yuanhua Feng, Ke-ming 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

parameter estimationkernel estimationfinancial time seriesGARCH modelasymptotic propertySEMIFAR model

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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