A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
DOI10.1016/J.CSDA.2009.02.026zbMATH Open1453.62176OpenAlexW2073855383MaRDI QIDQ961822FDOQ961822
Authors: Ana Pérez, Helena Veiga, Esther Ruiz 
Publication date: 1 April 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/15747
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Cites Work
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- On the Autocorrelation Properties of Long‐Memory GARCH Processes
- Statistical methods in finance
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model
- Moments of the ARMA–EGARCH model
Cited In (6)
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Realized stochastic volatility with leverage and long memory
- Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models
- The long memory HEAVY process: modeling and forecasting financial volatility
- MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
- A stochastic variance model for absolute returns
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