Can GARCH Models Capture Long-Range Dependence?
Year of publication: |
2005
|
---|---|
Authors: | Maheu, John |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 9.2005, 4, p. 1269-1269
|
Publisher: |
Berkeley Electronic Press |
Subject: | component GARCH | FIGARCH | fractional integration | long-memory |
-
Can GARCH Models Capture Long-Range Dependence?
Maheu, John, (2007)
-
Finansų rinkų statistinis tyrimas
Marcinkevičius, Matas, (2008)
-
Long Memory in Stock Market Volatility:Evidence from India
Hiremath, Gourishankar S, (2010)
- More ...
-
Can GARCH Models Capture Long-Range Dependence?
Maheu, John, (2005)
-
Structural Breaks and Forecasting in Empirical Finance and Macroeconomics
He, Zhongfang, (2009)
-
Development and Application of Hidden Markov Models in the Bayesian Framework
Song, Yong, (2011)
- More ...