Non-negativity conditions for the hyperbolic GARCH model

Journal of Econometrics

Volumn 157, Issue 2, 2010, Pages 441-457

  Conrad, Christian ^a  

^a UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

Fractional integration; Inequality constraints; Long memory GARCH processes

Indexed keywords

COMPUTATIONALLY EFFICIENT; CONDITIONAL VARIANCE; DATA SAMPLE; DAVIDSON; FIGARCH; FRACTIONAL INTEGRATION; GARCH MODELS; GARCH PROCESS; INEQUALITY CONSTRAINT; LONG MEMORIES; MULTI-STEP; NATURAL EXTENSION; NON-NEGATIVITY; PARAMETER SET;

CONSTRAINT THEORY;

EID: 77953711686     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.045     Document Type: Article

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