Asai, Manabu; McAleer, Michael; Medeiros, Marcelo - Facultad de Ciencias Económicas y Empresariales, … - 2011
this paper, we propose a new long memory asymmetric volatility model which captures more flexible asymmetric patterns as … of the out-of-sample forecasts show the adequacy of the new asymmetric and long memory volatility model for the period …