Covariance stationary GARCH-family models with long memory property (Q1031773): Difference between revisions

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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Modeling volatility persistence of speculative returns: a new approach
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+Modelling the persistence of conditional variances
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+STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL  LIMIT THEOREM
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+Q3400722
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+A model for long memory conditional heteroscedasticity.
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+On the Autocorrelation Properties of Long‐Memory GARCH Processes
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+ON STATIONARITY IN THE ARCH(∞) MODEL
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+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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+The memory of stochastic volatility models
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+STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
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