Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

DOI10.1016/j.physa.2014.01.029zbMath1395.60046OpenAlexW1994320772MaRDI QIDQ1782687

Sílvia R. C. Lopes, Taiane Schaedler Prass

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.01.029

zbMATH Keywords

ergodicitystationaritylong-range dependencevolatilityFIEGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

Related Items (4)

Jump detection in high-frequency financial data using wavelets ⋮ Seasonal FIEGARCH processes ⋮ Detecting long-range dependence with truncated ratios of periodogram ordinates ⋮ MCMC Bayesian Estimation in FIEGARCH Models

Uses Software

• StFinMetrics

Cites Work

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