Estimating parameters for a k-GIGARCH processReport as inadecuate




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1 UFR SAT - Université Gaston Berger de Saint-Louis Sénégal 2 IDHE - Institutions et Dynamiques Historiques de l-Economie

Abstract : 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.


Keywords : Electricity spot prices GIGARCH process estimation theory





Author: Abdou Kâ Diongue - Dominique Guegan -

Source: https://hal.archives-ouvertes.fr/



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