Volatility Components and Long Memory-Effects Revisited

DOI10.2202/1558-3708.1411MaRDI QIDQ5452773zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(11)

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

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