Non-negativity conditions for the hyperbolic GARCH model

DOI10.1016/J.JECONOM.2010.03.045zbMath1431.62361OpenAlexW3123413503MaRDI QIDQ736540

Christian Conrad

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/50409

zbMATH Keywords

fractional integrationinequality constraintslong memory GARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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