Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH

DOI10.1016/j.csda.2007.09.031zbMath1452.62787MaRDI QIDQ1023615

Helena Veiga, Esther Ruiz Ortega

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/5024

zbMATH Keywords

kurtosis; conditional heteroscedasticity; autocorrelations of squares and of absolute values; EMM estimator

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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