Misspecification tests for periodic long memory GARCH models
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Publication:257484
DOI10.1007/s10260-009-0118-zzbMath1332.62312OpenAlexW2060409482MaRDI QIDQ257484
Francesco Lisi, Massimiliano Caporin
Publication date: 17 March 2016
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: http://paduaresearch.cab.unipd.it/7112/1/2007_25_20080303092128.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
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Cites Work
- Generalised long-memory GARCH models for intra-daily volatility
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- The detection and estimation of long memory in stochastic volatility
- Analytic Hessian matrices and the computation of FIGARCH estimates
- Modeling and pricing long memory in stock market volatility
- Periodic Long-Memory GARCH Models
- A k-Factor GARMA Long-memory Model
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