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An Overview of FIGARCH and Related Time Series Models
16 references·1 citing·23 second hop
An Overview of FIGARCH and Related Time Series Models (2016)An Overview of FIGARCH and Related Time S…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Fractional Differencing (1981)Fractional DifferencingLong memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Forecasting volatility in commodity markets with long-memory models (2022)Forecasting volatility in com…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)Time Series Analysis Forecasting and Control. (1971)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)A long memory property of stock market returns and a new model (1993)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model

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1,093 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
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    • 2022Forecasting volatility in commodity markets with long-memory models26 cited