Mabrouk, Samir; Aloui, Chaker - In: International Journal of Financial Services Management 4 (2010) 2, pp. 77-94
the ARFIMA-FIGARCH and ARFIMA-FIAPARCH models under three alternative innovation distributions: normal, Student and skewed … Student, we show that the ARFIMA-FIAPARCH with skewed Student innovations outperforms the other models since it jointly …
