The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model

Most financial time series exhibit seasonality, persistence (hyperbolic decay of the autocorrelation function), asymmetric behavior and leptokurtosis. In this paper, we introduce the stationary Seasonal Hyperbolic APARCH model, which can take into account the previous features. We then investigate the probabilistic properties of the process e.g the strict and weak stationarity of the process and the long memory property.

MoreLess

Year of publication:	2007-06
Authors:	Diongue, Abdou Kâ ; Guegan, Dominique
Institutions:	HAL
Subject:	Seasonality \| Persistence \| Asymmetry \| Aparch model \| Hyperbolic distribution \| Stationary solution

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179275 Published, Statistics and Probability Letters, 2007, 77, 11, 1158-1164
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750929