Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - Alfred-Weber-Institut für Sozial- und …; … - 2008
Tse (1998) proposes a model which combines the fractionally integrated GARCH formulationof Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding,Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant...
