Asymmetric long memory GARCH in exchange return.

DOI10.1016/S0165-1765(01)00462-1MaRDI QIDQ5941467zbMATH OpenWikidataFDO

Authors Y. Hwang

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(01)00462-1

zbMATH Keywords

AsymmetryFIFGARCHFractional integrationLong memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)

Cited in

(5)

• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
• The stationary seasonal hyperbolic asymmetric power ARCH model
• Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
• Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
• Relationship between inflation rate and inflation uncertainty.

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