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Can GARCH Models Capture Long-Range Dependence? - MaRDI portal

Can GARCH Models Capture Long-Range Dependence? (Q3368398)

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Can GARCH Models Capture Long-Range Dependence?
scientific article

    Statements

    title
    Can GARCH Models Capture Long-Range Dependence? (English)
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    author
    John M. Maheu
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    publication date
    27 January 2006
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    zbMATH Keywords
    component GARCH
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    FIGARCH
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    fractional integration
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    long-memory
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    65C05
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    91B28
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    zbMATH DE Number
    5002434
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    OpenAlex ID
    W2069514895
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