Covariance stationary GARCH-family models with long memory property
From MaRDI portal
Publication:1031773
DOI10.1016/j.jkss.2007.07.001zbMath1196.62115OpenAlexW1978208424MaRDI QIDQ1031773
Publication date: 30 October 2009
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2007.07.001
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)
Related Items
Cites Work
- Unnamed Item
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- A model for long memory conditional heteroscedasticity.
- Modeling volatility persistence of speculative returns: a new approach
- Modelling the persistence of conditional variances
- ON STATIONARITY IN THE ARCH(∞) MODEL
- STATIONARITY AND MEMORY OF ARCH([infty infinity) MODELS]
- On the Autocorrelation Properties of Long‐Memory GARCH Processes
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- The memory of stochastic volatility models