A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

DOI10.1016/j.csda.2009.02.026zbMath1453.62176OpenAlexW2073855383MaRDI QIDQ961822

Ana Pérez, Helena Veiga, Esther Ruiz Ortega

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

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Realized stochastic volatility with leverage and long memory ⋮ The long memory HEAVY process: modeling and forecasting financial volatility

Cites Work

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• MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
• On the Autocorrelation Properties of Long‐Memory GARCH Processes

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