Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32160
Authors: 
Feng, Yuanhua
Beran, Jan
Yu, Keming
Year of Publication: 
2007
Series/Report no.: 
Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,14
Abstract: 
A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling ?nancial time series. This paper discusses the model fitting, including an efficient algorithm and parameter estimation of GARCH error term. So that the model can be applied in practice. We then illustrate the model and estimation methods with a few of different finance data sets.
Subjects: 
Financialtime series
GARCHmodel
SEMIFAR model
parameter estimation
kernel estimation
asymptotic property
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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