Lanouar, Charfeddine - Institut de Préparation à l'Administration et à la … - 2014
The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy … that allow for long memory and/or structural changes : the GARCH(1,1), the FIGARCH(1,d,1), the Adaptative-GARCH(1,1,k), and … three month's maturities, we found that ve out of the eight time series are characterized by both long memory and structural …