Arbeitspapier
Modelling financial time series with SEMIFAR-GARCH model
A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling ?nancial time series. This paper discusses the model fitting, including an efficient algorithm and parameter estimation of GARCH error term. So that the model can be applied in practice. We then illustrate the model and estimation methods with a few of different finance data sets.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 07/14
- Klassifikation
-
Wirtschaft
- Thema
-
Financialtime series
GARCHmodel
SEMIFAR model
parameter estimation
kernel estimation
asymptotic property
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Feng, Yuanhua
Beran, Jan
Yu, Keming
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2007
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-116702
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Feng, Yuanhua
- Beran, Jan
- Yu, Keming
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2007
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