Estimating parameters for a k-GIGARCH processReportar como inadecuado




Estimating parameters for a k-GIGARCH process - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

1 UFR SAT - Université Gaston Berger de Saint-Louis Sénégal 2 IDHE - Institutions et Dynamiques Historiques de l-Economie

Abstract : Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for this estimation.

Keywords : Electricity spot prices GIGARCH process estimation theory





Autor: Abdou Kâ Diongue - Dominique Guegan -

Fuente: https://hal.archives-ouvertes.fr/



DESCARGAR PDF




Documentos relacionados