Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (Q1782687)
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scientific article; zbMATH DE number 6939830
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| English | Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes |
scientific article; zbMATH DE number 6939830 |
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Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (English)
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20 September 2018
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long-range dependence
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volatility
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stationarity
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ergodicity
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FIEGARCH processes
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0.8269107937812805
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0.825366199016571
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0.7892245650291443
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0.758781373500824
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0.7557885050773621
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