The prediction of long memory FIGARCH models

MaRDI QIDQ3170027zbMATH OpenFDO

Authors Dawei Hou, Lihong Wang

Publication date 29 September 2011

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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(9)

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• Analytic Hessian matrices and the computation of FIGARCH estimates
• scientific article; zbMATH DE number 1069580 (Why is no real title available?)
• Volatility processes and volatility forecast with long memory
• Prediction of -stable GARCH and ARMA-GARCH-M models
• VaR prediction under long memory in volatility
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