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.
|Date of creation:||Jun 2007|
|Date of revision:|
|Publication status:||Published in Statistics and Probability Letters, Elsevier, 2007, 77 (11), pp.1158-1164. <10.1016/j.spl.2007.02.007>|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00179275|
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