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Fractionally integrated generalized autoregressive conditional heteroskedasticity · Study

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen

1996-09-01articleJournal of Econometrics2,290 citationsclosed

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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Stored only when both papers are in the corpus — 2,290 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1991Conditional Heteroskedasticity in Asset Returns: A New Approach

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

1968Fractional Brownian Motions, Fractional Noises and Applications

1963The Variation of Certain Speculative Prices

1997The variation of certain speculative prices

1992ARCH modeling in finance

Cited by

2001The distribution of realized stock return volatility

n.d.Multivariate GARCH models: a survey

2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

2003Forecasting Volatility in Financial Markets: A Review

1997Intraday periodicity and volatility persistence in financial markets

1996Modeling and pricing long memory in stock market volatility

19965 Stochastic volatility

1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Details

Year1996

Typearticle

VenueJournal of Econometrics

Languageen

Files0 public / 0

Identifiers

doi10.1016/s0304-4076(95)01749-6

openalex_workW1969960895

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