The impulse response function of the long memory GARCH process
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Publication:1928718
DOI10.1016/J.ECONLET.2005.07.001zbMath1255.62238OpenAlexW2039981721MaRDI QIDQ1928718
Menelaos Karanasos, Christian Conrad
Publication date: 3 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2005.07.001
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (9)
A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function ⋮ A dynamic Markov regime-switching GARCH model and its cumulative impulse response function ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Empirical likelihood inference for functional coefficient ARCH-M model ⋮ Statistic inference for a single-index ARCH-M model ⋮ Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes ⋮ Non-negativity conditions for the hyperbolic GARCH model ⋮ The long memory HEAVY process: modeling and forecasting financial volatility ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
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- On the Autocorrelation Properties of Long‐Memory GARCH Processes
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