Volatility Components and Long Memory-Effects Revisited

DOI10.2202/1558-3708.1411zbMATH Open1416.62585OpenAlexW2000290698MaRDI QIDQ5452773FDOQ5452773

Authors: Markus Haas 

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1411

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cited In (11)

• The role of long memory in hedging effectiveness
• Asymmetric multivariate normal mixture GARCH
• TESTING FOR LONG MEMORY IN VOLATILITY
• Generalised long-memory GARCH models for intra-daily volatility
• The effect of long memory in volatility on location estimation
• On mixture memory GARCH models
• The prediction of long memory FIGARCH models
• Can GARCH Models Capture Long-Range Dependence?
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• A GMM procedure for combining volatility forecasts
• Volatility processes and volatility forecast with long memory

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