Periodic Long-Memory GARCH Models
From MaRDI portal
Publication:3615077
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
periodicity; GARCH models; long-memory; intra-day volatility; stock index markets; TIM stock returns
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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