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The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model

  • Abdou Kâ Diongue

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Dominique Guegan


    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

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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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
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>
Handle: RePEc:hal:cesptp:halshs-00179275
DOI: 10.1016/j.spl.2007.02.007
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