Asai, Manabu; McAleer, Michael; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
this paper, we propose a new long memory asymmetric volatility model which captures more flexible asymmetric patterns as …. Overall, the results of the out-of-sample forecasts show the adequacy of the new asymmetric and long memory volatility model …