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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- 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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KeywordsSeasonality Persistence Asymmetric Leptokurtosis Long memory Hyperbolic behavior;
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