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Structural change and long memory in volatility: new evidence from daily exchange rates
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Structural change and long memory in volatility: new evidence from daily exchange rates (2000)Structural change and long memory in vola…Modeling high-frequency volatility with three-state FIGARCH models (2015)Modeling high-frequency volat…Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter? (2014)Modelling and forecasting val…Volatility expectations and asymmetric effects of direct interventions in the FX market (2003)Volatility expectations and a…Generalized autoregressive conditional heteroskedasticity (1986)Expected stock returns and volatility (1987)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Long range dependence in an emerging stock market’s sectors: volatility modelling and VaR forecasting (2017)
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  • 2014Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?23 cited
  • 2015Modeling high-frequency volatility with three-state FIGARCH models19 cited
  • 2003Volatility expectations and asymmetric effects of direct interventions in the FX market10 cited

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