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ArticleA new hyperbolic GARCH model

Muyi Li2015

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Articlegreen2015

A new hyperbolic GARCH model

Muyi Li · Wai Keung Li · Guodong Li

24 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A long memory property of stock market returns and a new model 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1986Generalized autoregressive conditional heteroscedasticity 2010A Long Memory Property of Stock Market Returns and a New Model

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Details

Year2015

Typearticle

Published2015-04-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2015.03.034

openalex_workW1964520346

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