Estimating parameters for a k-GIGARCH process

Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider 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 this estimation.

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Year of publication:	2004
Authors:	Diongue, Abdou Kâ ; Guegan, Dominique
Institutions:	HAL
Subject:	GIGARCH process \| estimation theory \| Electricity spot prices

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00188531/en/ Published, Comptes Rendus de l Académie des Sciences - Series I - Mathematics, 2004, 339, 435 - 440
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008793109