Modeling high-frequency data with long memory: the FICARR model

DOI10.16929/AS/2024.3982.335MaRDI QIDQ6876896zbMATH OpenFDO

Authors Daouda Mané, Abdou Kâ Diongue

Publication date 9 January 2026

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/afrika-statistika/volume-19/issue-3/Modeling-High-Frequency-Data-with-Long-Memory-The-FICARR/10.16929/as/2024.3982.335.full

zbMATH Keywords

FICARR modelfinancial time serieshigh-frequency datalong memoryparameter estimationrange-based volatility

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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