GARCH-type Models with Generalized Secant Hyperbolic Innovations

DOI10.2202/1558-3708.1212zbMath1081.91591OpenAlexW1982347277MaRDI QIDQ3368338

Corrado Provasi, Paola Palmitesta

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1212

zbMATH Keywords

generalized secant hyperbolic distributionasymmetric power ARCH (APARCH) modeltime series returns

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (2)

The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns ⋮ Aggregation of dependent risks using the Koehler-Symanowski copula function

Uses Software

• mathStatica

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