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Boussaha, Nadia

Overview
Works: 2 works in 2 publications in 1 language and 2 library holdings
Roles: Author
Publication Timeline
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Most widely held works by Nadia Boussaha
On periodic autoregressive stochastic volatility models: structure and estimation( )

1 edition published in 2018 in English and held by 1 WorldCat member library worldwide

ABSTRACT: To capture both the volatility evolution and the periodicity feature in the autocorrelation structure exhibited by many nonlinear time series, a Periodic AutoRegressive Stochastic Volatility (PAR - SV) model is proposed. Some probabilistic properties, namely the strict and second-order periodic stationarity, are provided. Furthermore, conditions for the existence of higher-order moments are established. The autocovariance structure of the squares and higher order powers of the PAR - SV process is studied. Its dynamic properties are shown to be consistent with financial time series empirical findings. Ways in which the model may be estimated are discussed. Finally, a simulation study of the performance of the proposed estimation methods is provided and the PAR - SV is applied to model the spot rates of the euro and US dollar both against the Algerian dinar. The empirical analysis shows that the proposed PAR - SV model can be considered as a viable alternative to the periodic generalized autoregressive conditionally heteroscedastic (PGARCH) model
Multivariate periodic stochastic volatility models applications to Algerian dinar exchange rates and oil prices modeling by Nadia Boussaha( )

1 edition published in 2018 in English and held by 1 WorldCat member library worldwide

 
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  Kids General Special  
Audience level: 0.92 (from 0.88 for On periodi ... to 0.96 for Multivaria ...)

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