Modelling financial time series with SEMIFAR-GARCH model


Dateien zu dieser Ressource

Prüfsumme: MD5:756d968844ab7159461989fb1a42e6a3

FENG, Yuanhua, Jan BERAN, Keming YU, 2007. Modelling financial time series with SEMIFAR-GARCH model

@techreport{Feng2007Model-675, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Modelling financial time series with SEMIFAR-GARCH model}, year={2007}, number={2007/14}, author={Feng, Yuanhua and Beran, Jan and Yu, Keming}, note={Also publ. in: IMA Journal of Management Mathematics ; 18 (2007), 4. - S. 395-412} }

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:rights>deposit-license</dc:rights> <dc:creator>Beran, Jan</dc:creator> <dcterms:abstract xml:lang="eng">A class of semiparametric fractional autoregressive GARCH models (SEMIFARGARCH), 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> <bibo:uri rdf:resource=""/> <dcterms:title>Modelling financial time series with SEMIFAR-GARCH model</dcterms:title> <dc:creator>Feng, Yuanhua</dc:creator> <dc:format>application/pdf</dc:format> <dcterms:available rdf:datatype="">2011-03-22T17:45:28Z</dcterms:available> <dcterms:issued>2007</dcterms:issued> <dc:contributor>Feng, Yuanhua</dc:contributor> <dc:date rdf:datatype="">2011-03-22T17:45:28Z</dc:date> <dcterms:rights rdf:resource=""/> <dc:language>eng</dc:language> <dc:contributor>Beran, Jan</dc:contributor> <dc:contributor>Yu, Keming</dc:contributor> <dc:creator>Yu, Keming</dc:creator> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

cofe_dp07_14.pdf 110

Das Dokument erscheint in:

deposit-license Solange nicht anders angezeigt, wird die Lizenz wie folgt beschrieben: deposit-license

KOPS Suche


Mein Benutzerkonto