Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (Q1023615)
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scientific article; zbMATH DE number 5564675
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH |
scientific article; zbMATH DE number 5564675 |
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Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (English)
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12 June 2009
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autocorrelations of squares and of absolute values
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conditional heteroscedasticity
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kurtosis
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EMM estimator
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