On the Autocorrelation Properties of Long-Memory GARCH Processes

This paper derives the autocorrelation function of the squared values of long-memory GARCH processes. Such processes are of much interest as they can produce the long-memory conditional heteroskedasticity that many high-frequency financial time series exhibit. An empirical application illustrating the practical use of our results is also discussed

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Year of publication:	2004
Authors:	Karanasos, Menelaos ; Psaradakis, Zacharias ; Sola, Martín
Publisher:	[S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Autokorrelation \| Autocorrelation \| Schätztheorie \| Estimation theory \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014072942