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

@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:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <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> <dcterms:hasPart rdf:resource=""/> <bibo:uri rdf:resource=""/> <dcterms:title>Modelling financial time series with SEMIFAR-GARCH model</dcterms:title> <dc:creator>Feng, Yuanhua</dc:creator> <dcterms:rights rdf:resource=""/> <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> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:language>eng</dc:language> <dspace:hasBitstream rdf:resource=""/> <dcterms:isPartOf rdf:resource=""/> <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights> <dc:contributor>Beran, Jan</dc:contributor> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:contributor>Yu, Keming</dc:contributor> <dc:creator>Yu, Keming</dc:creator> <dspace:isPartOfCollection rdf:resource=""/> </rdf:Description> </rdf:RDF>

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