Fractionally integrated time varying GARCH model
DOI10.1007/S10260-010-0131-2zbMATH Open1332.62309OpenAlexW1990580781MaRDI QIDQ257572FDOQ257572
Authors: Adnen Ben Nasr, Mohamed Boutahar, Abdelwahed Trabelsi 
Publication date: 17 March 2016
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-010-0131-2
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Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cited In (9)
- Seasonal FIEGARCH processes
- The estimation of time varying volatility based on the long stock return series with its application
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
- The time-varying GARCH-in-mean model
- Optimal alarm systems for FIAPARCH processes
- Modelling volatility by variance decomposition
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
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