The prediction of long memory FIGARCH models
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Publication:3170027
zbMATH Open1236.62121MaRDI QIDQ3170027FDOQ3170027
Authors: Dawei Hou, Lihong Wang 
Publication date: 29 September 2011
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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- VaR prediction under long memory in volatility
- Infinite-order, long-memory heterogeneous autoregressive models
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
- Prediction of \(\alpha\)-stable GARCH and ARMA-GARCH-M models
- Title not available (Why is that?)
- Volatility Components and Long Memory-Effects Revisited
- Volatility processes and volatility forecast with long memory
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