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 .
| The full text of this publication is not available from this repository. (Contact us about this Publication) | |
| Official URL http://dx.doi.org/10.1007/s10463-006-0052-x |
Abstract
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.
| Item Type: | Article |
|---|---|
| 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) |
- Depositors only (login required):
