Fractionally integrated GARCH model with tempered stable distribution: a simulation study
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Cites work
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Cited in
(9)- Modelling tail risk with tempered stable distributions: an overview
- Long memory and regime switching in the stochastic volatility modelling
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
- Self-similarity in financial markets: a fractionally integrated approach
- A simulation study on the Markov regime-switching zero-drift GARCH model
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- Appraisal of excess Kurtosis through outlier-modified GARCH-type models
- Long-range dependence and rational Gaussian noise
- Spatio-temporal analysis of dependent risk with an application to cyberattacks data
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