Mena, R.H. and Walker, S.G. (2007) On the stationary version of the generalized hyperbolic ARCH model. Annals of the Institute of Statistical Mathematics, 59 (2). pp. 325-348. ISSN 0020-3157 .
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This paper finds conditions under which the generalized hyperbolic ARCH-type model is strictly stationary. Properties of the model are investigated and in particular an estimation procedure is proposed. The resulting stationary model provides with a robust non-Gaussian ARCH-type alternative.
|Uncontrolled keywords:||ARCH; EM algorithm; generalized hyperbolic distributions; stationary processes|
|Subjects:||Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics
Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics|
|Depositing User:||Suzanne Duffy|
|Date Deposited:||31 Mar 2008 18:15|
|Last Modified:||14 Jan 2010 14:08|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/2602 (The current URI for this page, for reference purposes)|
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