On the Autocorrelation Properties of Long‐Memory GARCH Processes
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Publication:4828181
DOI10.1046/j.0143-9782.2003.00349.xzbMath1051.62076OpenAlexW3121666900MaRDI QIDQ4828181
Martin Sola, Menelaos Karanasos, Zacharias Psaradakis
Publication date: 24 November 2004
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://www.utdt.edu/download.php?fname=_116465882066315900.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites Work
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- The detection and estimation of long memory in stochastic volatility
- Generalized autoregressive conditional heteroscedasticity
- Modeling and pricing long memory in stock market volatility
- Modeling volatility persistence of speculative returns: a new approach
- Averaged Periodogram Spectral Estimation with Long-memory Conditional Heteroscedasticity
- LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
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