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Modeling volatility with time-varying FIGARCH models · Study

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ArticleModeling volatility with time-varying FIGARCH models

Mustapha Belkhouja2011

Article2011

Modeling volatility with time-varying FIGARCH models

Mustapha Belkhouja · Mohamed Boutahary

37 citations·0/0 files stored·Economic Modelling

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 37 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1981Fractional Differencing 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1994Autoregressive conditional heteroskedasticity and changes in regime

Cited by

2016Price discovery and asset pricing 2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

Details

Year2011

Typearticle

Published2011-01-24

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.econmod.2010.11.017

openalex_workW1980605924

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