کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1153645 958345 2007 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The stationary seasonal hyperbolic asymmetric power ARCH model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
The stationary seasonal hyperbolic asymmetric power ARCH model
چکیده انگلیسی

Most financial time series exhibit seasonality, persistence (hyperbolic decay of the autocorrelation function), asymmetric behavior and leptokurticity. The paper introduces the stationary seasonal hyperbolic APARCH model, which can take into account these previous features. Particularly, we examine sufficient and necessary conditions for existence of strict and weak stationary solution. After looking for long memory property of the process, we provide the expression of the likelihoods, in order to estimate the parameters, in three classical cases which appear as particular case of the hyperbolic likelihood.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 77, Issue 11, 15 June 2007, Pages 1158–1164
نویسندگان
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