1 citations · 1 across the 1 of their papers we have counts for
2 papers
stat.ME2021
Adaptive Realized Hyperbolic GARCH Process: Stability and Estimation
El Hadji Mamadou Sall, El Hadji Deme, Abdou Kâ Diongue
In this paper, we propose an Adaptive Realized Hyperbolic GARCH (A-Realized HYGARCH) process to model the long memory of high-frequency time series with possible structural breaks.…
stat.ME2021★ 1 cited
Modeling Risk via Realized HYGARCH Model
El Hadji Mamadou Sall, El Hadji Deme, Abdou Ka Diongue
In this paper, we propose the realized Hyperbolic GARCH model for the joint-dynamics of lowfrequency returns and realized measures that generalizes the realized GARCH model of Hans…