Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

DOI10.1016/J.PHYSA.2014.01.029MaRDI QIDQ1782687zbMATH OpenOpenAlexFDO

Authors Sílvia R. C. Lopes, Taiane Schaedler Prass

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2014.01.029

zbMATH Keywords

ergodicityFIEGARCH processeslong-range dependencestationarityvolatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Class of Antipersistent Processes
• A consistent nonparametric test of ergodicity for time series with applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Estimating Long Memory in Volatility
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 48363 (Why is no real title available?)
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Long-range dependence in mean and volatility: models, estimation and forecasting
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• Modeling and pricing long memory in stock market volatility
• Modeling Financial Time Series with S-PLUS®
• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
• On series representations for linear predictors
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• Some simulations and applications of forecasting long-memory time-series models
• TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA
• The detection and estimation of long memory in stochastic volatility
• The rate of consistency of the quasi-maximum likelihood estimator.
• Time series: theory and methods.

Cited in

(6)

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Seasonal FIEGARCH processes
• MCMC Bayesian estimation in FIEGARCH models
• Detecting long-range dependence with truncated ratios of periodogram ordinates
• Jump detection in high-frequency financial data using wavelets
• Theoretical Results on FIEGARCH Processes

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• StFinMetrics

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