Identification of long memory in GARCH models

DOI10.1007/s10260-003-0056-0zbMath1145.62365OpenAlexW1581025109WikidataQ126578841 ScholiaQ126578841MaRDI QIDQ1766999

Massimiliano Caporin

Publication date: 3 March 2005

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-003-0056-0

zbMATH Keywords

identificationlong memoryFIGARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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