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
Professor Li, Wai Keung   (Principal investigator)
Duration
42
Start Date
2009-01-01
Completion Date
2012-06-30
Amount
579610
Conference Title
Presentation Title
Keywords
GARCH, Hyperbolic memory, Quasi-likelihood estimation, Threshold models, Volatility
Discipline
Applied Mathematics
Panel
Physical Sciences (P)
Sponsor
RGC General Research Fund (GRF)
HKU Project Code
HKU 702908P
Grant Type
General Research Fund (GRF)
Funding Year
2008/2009
Status
Completed
All Publications
TitleAuthor(s)Issue DateViews
 
Score tests for hyperbolic GARCH models
Journal:Journal of Business and Economic Statistics
2011
142