2 papers
math.ST2018
Estimation of multivariate asymmetric power GARCH models
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new cla…
math.ST2018
Portmanteau test for the asymmetric power GARCH model when the power is unknown
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic beha…