Periodic Long-Memory GARCH Models

DOI10.1080/07474930802387860zbMath1161.62054MaRDI QIDQ3615077

Silvano Bordignon, Massimiliano Caporin, Francesco Lisi

Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://paduaresearch.cab.unipd.it/7084/1/2005_19.pdf

zbMATH Keywords

periodicity; GARCH models; long-memory; intra-day volatility; stock index markets; TIM stock returns

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

65C05: Monte Carlo methods

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