Generalised long-memory GARCH models for intra-daily volatility

DOI10.1016/j.csda.2006.11.004zbMath1445.62309MaRDI QIDQ1020691

Massimiliano Caporin, Silvano Bordignon, Francesco Lisi

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.11.004

zbMATH Keywords

long-memory; G-GARCH; Gegenbauer processes; intra-daily volatility

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

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