Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
DOI10.1016/j.csda.2007.09.031zbMath1452.62787OpenAlexW2011780523MaRDI QIDQ1023615
Helena Veiga, Esther Ruiz Ortega
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/5024
kurtosisconditional heteroscedasticityautocorrelations of squares and of absolute valuesEMM estimator
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (10)
Cites Work
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