Generalised long-memory GARCH models for intra-daily volatility

DOI10.1016/j.csda.2006.11.004zbMath1445.62309OpenAlexW2078451899MaRDI QIDQ1020691

Massimiliano Caporin, Silvano Bordignon, Francesco Lisi

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.11.004

zbMATH Keywords

long-memoryG-GARCHGegenbauer processesintra-daily volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (10)

Seasonal FIEGARCH processes ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ Modelling cycles in climate series: the fractional sinusoidal waveform process ⋮ Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications ⋮ Estimation and pricing under long-memory stochastic volatility ⋮ Implied volatility in oil markets ⋮ Precious metals under the microscope: a high-frequency analysis ⋮ Generalised long-memory GARCH models for intra-daily volatility ⋮ Estimation methods for stationary Gegenbauer processes ⋮ Misspecification tests for periodic long memory GARCH models

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