This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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658
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Type:
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Topic Contributed
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Date/Time:
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Thursday, August 5, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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Abstract - #308097 |
Title:
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A New Long Memory Volatility Model
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Author(s):
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Guodong Li*+
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Companies:
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The University of Hong Kong
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Address:
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Pokfulam Road, Hong Kong, Hong Kong, , China
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Keywords:
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Abstract:
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This paper proposes a new type of long memory volatility model by mixing a common GARCH and a hyperbolic decaying structures. It is superior the commonly used FIGARCH and HYGARCH models since the variance of the hyperbolic structure is finite and that of the whole process may be infinite. Some probabilistic properties and the quasi-maximum likelihood estimation are also developed. The simulation experiments and a real example give further support to this new model.
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Authors who are presenting talks have a * after their name.
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