The impulse response function of the long memory GARCH process

DOI10.1016/j.econlet.2005.07.001zbMath1255.62238MaRDI QIDQ1928718

Menelaos Karanasos, Christian Conrad

Publication date: 3 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.07.001

zbMATH Keywords

cumulative impulse response function; long memory GARCH process

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Statistic inference for a single-index ARCH-M model, Non-negativity conditions for the hyperbolic GARCH model, A dynamic Markov regime-switching GARCH model and its cumulative impulse response function, Empirical likelihood inference for functional coefficient ARCH-M model, The long memory HEAVY process: modeling and forecasting financial volatility, A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function, Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap, Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes, On the Transmission of Memory in Garch‐in‐Mean Models

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