Estimating parameters of a k-factor GIGARCH process

被引：2
|
作者：
Diongue, AK
Guégan, D
机构：
[1] ENS, CNRS, IDHE, MORA,UMR 8533, F-94231 Cachan, France
[2] EDF R&D, F-92141 Clamart, France
来源：
COMPTES RENDUS MATHEMATIQUE | 2004年 / 339卷 / 06期
关键词：
D O I：
10.1016/j.crma.2004.07.014
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Some crucial time series of market data, such as electricity spot prices, exhibit long-memory, in the sense of slowly-decaying correlations combined with heteroskedasticity. To be able to modelize such a behaviour, we consider in this Note 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 the estimation. To cite this article: A.K. Diongue, D. Guegan, C. R. Acad. Sci. Paris, Ser. I 339(2004). (C) 2004 Academie des sciences. Published by Elsevier SAS. All rights reserved.
引用
收藏
页码：435 / 440
页数：6
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