Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets
Pankaj Kumar Gupta, Prabhat Mittal
| Year of publication: |
2024
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|---|---|
| Authors: | Gupta, Pankaj Kumar ; Mittal, Prabhat |
| Published in: |
Global business & economics review. - Olney, Bucks : Inderscience Enterprises, ISSN 1745-1329, ZDB-ID 2231575-5. - Vol. 30.2024, 1, p. 56-71
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| Subject: | copula | fractionally integrated-GARCH | long memory | stock market | volatility forecasting | Volatilität | Volatility | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Asien | Asia | Aktienindex | Stock index | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/GBER.2024.135287 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014490993