The stationary seasonal hyperbolic asymmetric power ARCH model
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- Abdou Kâ Diongue & Dominique Guegan, 2007. "The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179275, HAL.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
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- Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.
- repec:eee:ecolet:v:162:y:2018:i:c:p:107-111 is not listed on IDEAS
More about this item
KeywordsSeasonality Persistence Asymmetric Leptokurtosis Long memory Hyperbolic behavior;
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