Periodic Long-Memory GARCH Models (Q3615077)

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Periodic Long-Memory GARCH Models
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    title
    Periodic Long-Memory GARCH Models (English)
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    author
    Silvano Bordignon
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    Massimiliano Caporin
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    Francesco Lisi
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    publication date
    17 March 2009
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    Mathematics Subject Classification ID
    62M10
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    62P05
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    65C05
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    zbMATH DE Number
    5529880
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    zbMATH Keywords
    GARCH models
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    intra-day volatility
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    long-memory
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    periodicity
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    stock index markets
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    TIM stock returns
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    OpenAlex ID
    W2016791521
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