Estimating parameters for a k-GIGARCH process

Abdou Ka Diongue and Dominique Guegan ()
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Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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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: GIGARCH process; estimation theory; Electricity spot prices (search for similar items in EconPapers)
Date: 2004
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00188531
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Citations: View citations in EconPapers (12)

Published in Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2004, 339, pp.435 - 440

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