A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates

Dominique Guegan (1)

1 IDHE - Institutions et Dynamiques Historiques de l'Economie

We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are provided to calibrate the theoretical properties. Applications on consumer price indexes and inflation rates are done;

Mots clés: GIGARCH process; estimation theory; Inflation rates; prices indexes; prices indexes.

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]

Dominique Guegan. A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates. Finance India, 2003, XVII (1), pp.165 - 197. ⟨halshs-00201314⟩