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ARCH(∞) Models and Long Memory Properties · Study

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ChapterARCH(∞) Models and Long Memory Properties

Liudas Giraitis2009

Chapter2009

ARCH(∞) Models and Long Memory Properties

Liudas Giraitis · Remigijus Leipus · Донатас Сургайлис

27 citations·0/0 files stored·Springer eBooks

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A long memory property of stock market returns and a new model 1996Statistics for Long-Memory Processes.1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 2001The Distribution of Realized Exchange Rate Volatility 1986Modelling the persistence of conditional variances 1996Statistics for Long-Memory Processes.

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2006Recent Advances in ARCH Modellingchapter · 25 shared references 2005Volatility Forecastingreport · 15 shared references 2005How can we Define the Concept of Long Memory? An Econometric Surveyarticle · 14 shared references 2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processeschapter · 13 shared references 2011The Long Range Dependence Paradigm for Macroeconomics and Financepreprint · 13 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 13 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-540-71297-8_3

openalex_workW9033952

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