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Article: Score tests for hyperbolic GARCH models
Title | Score tests for hyperbolic GARCH models | ||||
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Authors | |||||
Keywords | Hyperbolic decay Long-range dependence | ||||
Issue Date | 2011 | ||||
Publisher | American Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main | ||||
Citation | Journal Of Business And Economic Statistics, 2011, v. 29 n. 4, p. 579-586 How to Cite? | ||||
Abstract | Davidson (2004) recently proposed the hyperbolic GARCH model to capture the phenomenon of longrange dependence in volatility, with the extent of such dependence measured by the geometric or hyperbolic decay of the coefficients in an ARCH(∞) model. In this article, we reinterpret the hyperbolic GARCH model by building a link with the common GARCH model, and construct a simplified score test to check the presence of the hyperbolic decay. We derive the asymptotic of the test statistic under the null hypothesis and the local alternatives.We conductMonte Carlo simulation experiments to study the performance of this test, and report an illustration on two log return sequences. This article has supplementary material online. © 2011 American Statistical Association. | ||||
Persistent Identifier | http://hdl.handle.net/10722/143389 | ||||
ISSN | 2023 Impact Factor: 2.9 2023 SCImago Journal Rankings: 3.385 | ||||
ISI Accession Number ID |
Funding Information: The authors thank Professor J. Wright, an Associate Editor, and two anonymous referees for valuable comments that led to the substantial improvement of this manuscript. This work was partially supported by Hong Kong Research Grants Council Grant HKU 702908P. | ||||
References | |||||
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DC Field | Value | Language |
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dc.contributor.author | Li, M | en_HK |
dc.contributor.author | Li, G | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.date.accessioned | 2011-11-24T10:04:56Z | - |
dc.date.available | 2011-11-24T10:04:56Z | - |
dc.date.issued | 2011 | en_HK |
dc.identifier.citation | Journal Of Business And Economic Statistics, 2011, v. 29 n. 4, p. 579-586 | en_HK |
dc.identifier.issn | 0735-0015 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/143389 | - |
dc.description.abstract | Davidson (2004) recently proposed the hyperbolic GARCH model to capture the phenomenon of longrange dependence in volatility, with the extent of such dependence measured by the geometric or hyperbolic decay of the coefficients in an ARCH(∞) model. In this article, we reinterpret the hyperbolic GARCH model by building a link with the common GARCH model, and construct a simplified score test to check the presence of the hyperbolic decay. We derive the asymptotic of the test statistic under the null hypothesis and the local alternatives.We conductMonte Carlo simulation experiments to study the performance of this test, and report an illustration on two log return sequences. This article has supplementary material online. © 2011 American Statistical Association. | en_HK |
dc.language | eng | en_US |
dc.publisher | American Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main | en_HK |
dc.relation.ispartof | Journal of Business and Economic Statistics | en_HK |
dc.subject | Hyperbolic decay | en_HK |
dc.subject | Long-range dependence | en_HK |
dc.title | Score tests for hyperbolic GARCH models | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Li, G: gdli@hku.hk | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, G=rp00738 | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1198/jbes.2011.10024 | en_HK |
dc.identifier.scopus | eid_2-s2.0-80053585734 | en_HK |
dc.identifier.hkuros | 197783 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-80053585734&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 29 | en_HK |
dc.identifier.issue | 4 | en_HK |
dc.identifier.spage | 579 | en_HK |
dc.identifier.epage | 586 | en_HK |
dc.identifier.eissn | 1537-2707 | - |
dc.identifier.isi | WOS:000295584300011 | - |
dc.publisher.place | United States | en_HK |
dc.relation.project | Statistical Inference for the Hyberbolic Generalized Conditional Autoregressive Heteroscedastic (HYGARCH) Model and Extensions | - |
dc.identifier.scopusauthorid | Li, M=52563850200 | en_HK |
dc.identifier.scopusauthorid | Li, G=52563850500 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.issnl | 0735-0015 | - |