کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6870772 681141 2013 34 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Seasonal FIEGARCH processes
ترجمه فارسی عنوان
فرآیندهای فیزیکی فصلی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
چکیده انگلیسی
Here we develop the theory of seasonal FIEGARCH processes, denoted by SFIEGARCH, establishing conditions for the existence, the invertibility, the stationarity and the ergodicity of these processes. We analyze their asymptotic dependence structure by means of the autocovariance and autocorrelation functions. We also present some properties regarding their spectral representation. All properties are illustrated through graphical examples and an application of SFIEGARCH models to describe the volatility of the S&P500 US stock index log-return time series in the period from December 13, 2004 to October 10, 2009 is provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 68, December 2013, Pages 262-295
نویسندگان
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