Modelling financial time series with SEMIFAR-GARCH model

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FENG, Yuanhua, Jan BERAN, Keming YU, 2007. Modelling financial time series with SEMIFAR-GARCH model. In: IMA Journal of Management Mathematics. 18(4), pp. 395-412. ISSN 1471-678X. eISSN 1471-6798. Available under: doi: 10.1093/imaman/dpm024

@article{Feng2007Model-27581, title={Modelling financial time series with SEMIFAR-GARCH model}, year={2007}, doi={10.1093/imaman/dpm024}, number={4}, volume={18}, issn={1471-678X}, journal={IMA Journal of Management Mathematics}, pages={395--412}, author={Feng, Yuanhua and Beran, Jan and Yu, Keming} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:date rdf:datatype="">2014-04-22T08:03:28Z</dc:date> <dc:rights>terms-of-use</dc:rights> <dc:contributor>Yu, Keming</dc:contributor> <dc:creator>Yu, Keming</dc:creator> <dcterms:isPartOf rdf:resource=""/> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:language>eng</dc:language> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:available rdf:datatype="">2014-04-22T08:03:28Z</dcterms:available> <dcterms:rights rdf:resource=""/> <dcterms:bibliographicCitation>IMA Journal of Management Mathematics ; 18 (2007), 4. - S. 395-412</dcterms:bibliographicCitation> <dc:creator>Feng, Yuanhua</dc:creator> <dc:contributor>Feng, Yuanhua</dc:contributor> <dc:contributor>Beran, Jan</dc:contributor> <dcterms:abstract xml:lang="eng">A class of semiparametric fractional autoregressive models with generalized autoregressive conditional heteroskedastic (GARCH) errors, which includes deterministic trends, difference stationarity and stationarity with short- and long-range dependence and heteroskedastic model errors, is very powerful for modelling financial 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.</dcterms:abstract> <dcterms:issued>2007</dcterms:issued> <bibo:uri rdf:resource=""/> <dcterms:title>Modelling financial time series with SEMIFAR-GARCH model</dcterms:title> <dspace:isPartOfCollection rdf:resource=""/> <dc:creator>Beran, Jan</dc:creator> </rdf:Description> </rdf:RDF>

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