Fractionally integrated generalized autoregressive conditional heteroskedasticity
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conditional varianceexchange rate volatilityFIGARCHfinancial time seriesfractionally integrated generalized autoregressive conditionally heteroskedastic processesGARCH modelhyperbolic rate of decayIGARCHlagged squared innovationsmaximum likelihood estimatesmean-reversionMonte Carlo simulationssmall sample behavior
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- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
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Cited in
(only showing first 100 items - show all)- Persistent-threshold-GARCH processes: model and application
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
- Correlated continuous time random walks
- Multiscale local change point detection with applications to value-at-risk
- Estimation of fractional integration in the presence of data noise
- Generalised long-memory GARCH models for intra-daily volatility
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Power-law behaviour, heterogeneity, and trend chasing
- Covariance stationary GARCH-family models with long memory property
- Break detection in the covariance structure of multivariate time series models
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
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- Multiscale behaviour of volatility autocorrelations in a financial market
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- On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets
- Revisiting the multifractality in stock returns and its modeling implications
- Bayesian estimation of smoothly mixing time-varying parameter GARCH models
- Fractionally differenced Gegenbauer processes with long memory: a review
- A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
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- Statistical inference for time-varying ARCH processes
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