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The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model

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  • Abdou Kâ Diongue

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

Abstract

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.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00179275.

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Date of creation: Jun 2007
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Publication status: Published, Statistics and Probability Letters, 2007, 77, 11, 1158-1164
Handle: RePEc:hal:cesptp:halshs-00179275

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179275
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Related research

Keywords: Seasonality - Persistence - Asymmetry - Aparch model - Hyperbolic distribution - Stationary solution;

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References

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Cited by:
  1. Conrad, Christian, 2010. "Non-negativity conditions for the hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 157(2), pages 441-457, August.

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