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A model for long memory conditional heteroscedasticity

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References

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215 cited

1995Some Properties of Absolute Return: An Alternative Measure of Risk158 cited

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2000Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity46 cited
2002Long memory properties and covariance structure of the EGARCH model42 cited
2006A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS40 cited
2010Specification tests for the error distribution in GARCH models39 cited
2002Modeling Sequences of Long Memory Non-Negative Covariance Stationary Random Variables38 cited
2004Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals31 cited
2010Inconsistency of the MLE and inference based on weighted LS for LARCH models30 cited