Fractionally integrated generalized autoregressive conditional heteroskedasticity
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financial time seriesGARCH modelMonte Carlo simulationsmaximum likelihood estimatesconditional varianceFIGARCHmean-reversionIGARCHsmall sample behaviorexchange rate volatilityfractionally integrated generalized autoregressive conditionally heteroskedastic processeshyperbolic rate of decaylagged squared innovations
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Cited in
(only showing first 100 items - show all)- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Generalized autoregressive conditional heteroscedasticity
- Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- Behaviour of skewness, kurtosis and normality tests in long memory data
- Misspecification tests for periodic long memory GARCH models
- Fractionally integrated time varying GARCH model
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
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- Strong approximation of the empirical process of GARCH sequences
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- Econometric analysis of microscopic simulation models
- Characterizing heteroskedasticity
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Support vector machine as an efficient framework for stock market volatility forecasting
- Jump detection in high-frequency financial data using wavelets
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
- A new estimator of the fractionally integrated stochastic volatility model
- Estimation of fractional integration in the presence of data noise
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- Multiscale behaviour of volatility autocorrelations in a financial market
- Limit experiments of GARCH
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- Stochastic volatility and option pricing with long-memory in discrete and continuous time
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- Generalised long-memory GARCH models for intra-daily volatility
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- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
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- Market heterogeneities and the causal structure of volatility
- Consistent ranking of volatility models
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- Asymptotic nonequivalence of GARCH models and diffusions
- Asymptotic filtering theory for multivariate ARCH models
- Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
- On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets
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- Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
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- Markov switch smooth transition HYGARCH model: stability and estimation
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