On the stationary version of the generalized hyperbolic ARCH model

DOI10.1007/S10463-006-0052-XzbMATH Open1332.62333OpenAlexW2122626031MaRDI QIDQ995800FDOQ995800

Authors: Ramsés H. Mena, Stephen G. Walker 

Publication date: 10 September 2007

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0052-x

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zbMATH Keywords

EM algorithmstationary processesARCHgeneralized hyperbolic distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

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Cited In (10)

• An autoregressive model based on the generalized hyperbolic distribution
• Bayesian consistency for Markov models
• Imposing stationarity constraints on the parameters of ARCH and GARCH models
• Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
• Poisson-Driven Stationary Markov Models
• STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
• The generalized hyperbolic process
• Multivariate normal mean-variance mixture distribution based on Birnbaum-Saunders distribution
• The stationary seasonal hyperbolic asymmetric power ARCH model
• On a construction of stationary processes via bilateral matrix-exponential distributions

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