A new hyperbolic GARCH model
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Publication:888335
DOI10.1016/j.jeconom.2015.03.034zbMath1337.62273OpenAlexW1964520346MaRDI QIDQ888335
Guodong Li, Muyi Li, Wai Keung Li
Publication date: 30 October 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/222954
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (6)
Adaptive realized hyperbolic GARCH process: stability and estimation ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation ⋮ Stationarity and functional central limit theorem for ARCH(\(\infty\)) models ⋮ Ian McLeod’s Contribution to Time Series Analysis—A Tribute ⋮ M-estimate for the stationary hyperbolic GARCH models
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