Periodic Long-Memory GARCH Models
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Recommendations
- Identification of long memory in GARCH models
- Long memory with Markov-switching GARCH
- Periodic integer-valued GARCH(1,1) model
- Generalised long-memory GARCH models for intra-daily volatility
- Misspecification tests for periodic long memory GARCH models
- A long memory model with normal mixture GARCH
- Continuous-time GARCH processes
- Probabilistic properties of periodic GARCH prosses
- Covariance stationary GARCH-family models with long memory property
- Stable GARCH models for financial time series
Cites work
- A k-Factor GARMA Long-memory Model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Modeling and pricing long memory in stock market volatility
- STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- The detection and estimation of long memory in stochastic volatility
Cited in
(15)- Generalised long-memory GARCH models for intra-daily volatility
- Covariance stationary GARCH-family models with long memory property
- Seasonal FIEGARCH processes
- Identification of long memory in GARCH models
- The impulse response function of the long memory GARCH process
- Long memory with Markov-switching GARCH
- Misspecification tests for periodic long memory GARCH models
- Can GARCH Models Capture Long-Range Dependence?
- Volatility processes and volatility forecast with long memory
- Precious metals under the microscope: a high-frequency analysis
- GARCH with omitted persistent covariate
- Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients
- Time-varying periodicity in intraday volatility
- Volatility Components and Long Memory-Effects Revisited
- Asymmetric long memory GARCH in exchange return.
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