Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH

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Publication:1023615

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




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