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On the Stationary Version of the Generalized Hyperbolic ARCH Model

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  • Ramsés Mena
  • Stephen Walker

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  • Ramsés Mena & Stephen Walker, 2007. "On the Stationary Version of the Generalized Hyperbolic ARCH Model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(2), pages 325-348, June.
    • Handle: RePEc:spr:aistmt:v:59:y:2007:i:2:p:325-348
    DOI: 10.1007/s10463-006-0052-x
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    References listed on IDEAS

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    1. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    2. Michael K. Pitt & Chris Chatfield & Stephen G. Walker, 2002. "Constructing First Order Stationary Autoregressive Models via Latent Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(4), pages 657-663, December.
    3. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Martínez-Ovando Juan Carlos & Walker Stephen G., 2011. "Time-series Modelling, Stationarity and Bayesian Nonparametric Methods," Working Papers 2011-08, Banco de México.

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