Mena, Ramses H., Walker, Stephen 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. (doi:10.1007/s10463-006-0052-x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:2602)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| 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 |
|---|---|
| DOI/Identification number: | 10.1007/s10463-006-0052-x |
| 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: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
| Depositing User: | Suzanne Duffy |
| Date Deposited: | 31 Mar 2008 18:15 UTC |
| Last Modified: | 16 Nov 2021 09:41 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/2602 (The current URI for this page, for reference purposes) |
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