Statistical Inference for the Hyberbolic Generalized Conditional Autoregressive Heteroscedastic (HYGARCH) Model and Extensions
Grant Data
Project Title
Statistical Inference for the Hyberbolic Generalized Conditional Autoregressive Heteroscedastic (HYGARCH) Model and Extensions
Principal Investigator
Emeritus Professor Li, Wai Keung
(Principal Investigator (PI))
Duration
42
Start Date
2009-01-01
Amount
579610
Conference Title
Statistical Inference for the Hyberbolic Generalized Conditional Autoregressive Heteroscedastic (HYGARCH) Model and Extensions
Presentation Title
Keywords
GARCH, Hyperbolic memory, Quasi-likelihood estimation, Threshold models, Volatility
Discipline
Applied Mathematics
Panel
Physical Sciences (P)
HKU Project Code
HKU 702908P
Grant Type
General Research Fund (GRF)
Funding Year
2008
Status
Completed
All Publications
| Title | Author(s) | Issue Date | |
|---|---|---|---|
Score tests for hyperbolic GARCH models Journal:Journal of Business and Economic Statistics | 2011 |