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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2010.12
- 수록면
- 1,311 - 1,317 (7page)
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초록· 키워드
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A continuous time asymmetric power GARCH(1,1) model is suggested, based on a single background driving Levy process. The stochastic differential equation for the given process is derived and the strict stationarity and kth order moment conditions are examined.
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참고문헌 (18)
참고문헌 신청
Barndorff-Nielsen, O. E. / 2001 / Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial economics / Journal of Royal Statistical Society Series B 63:167~241
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroscedasticity / Journal of Econometrics 31:307~327
Brockwell, P. / 2001 / Levy driven CARMA process / Annals Institute Statistical Mathematics 53:113~124
Ding, Z. / 1993 / A long memory property of stock market returns and a new model / Journal of Empirical Finance 1:83~106
Engle, R. F. / 1982 / Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation / Econometrica 50:987~1008
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroscedasticity / Journal of Econometrics 31:307~327
Brockwell, P. / 2001 / Levy driven CARMA process / Annals Institute Statistical Mathematics 53:113~124
Ding, Z. / 1993 / A long memory property of stock market returns and a new model / Journal of Empirical Finance 1:83~106
Engle, R. F. / 1982 / Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation / Econometrica 50:987~1008
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UCI(KEPA) : I410-ECN-0101-2018-041-001380356