The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model
AbstractMost 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 InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00179275.
Date of creation: Jun 2007
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Publication status: Published, Statistics and Probability Letters, 2007, 77, 11, 1158-1164
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Seasonality - Persistence - Asymmetry - Aparch model - Hyperbolic distribution - Stationary solution;
Other versions of this item:
- Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
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