Misspecification tests for periodic long memory GARCH models

DOI10.1007/s10260-009-0118-zzbMath1332.62312OpenAlexW2060409482MaRDI QIDQ257484

Francesco Lisi, Massimiliano Caporin

Publication date: 17 March 2016

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

Full work available at URL: http://paduaresearch.cab.unipd.it/7112/1/2007_25_20080303092128.pdf

zbMATH Keywords

long memorygeneralized long memory GARCH modelsmisspecification testsPLM-GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (1)

Generalised long-memory GARCH models for intra-daily volatility

Cites Work

• Generalised long-memory GARCH models for intra-daily volatility
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• The detection and estimation of long memory in stochastic volatility
• Analytic Hessian matrices and the computation of FIGARCH estimates
• Modeling and pricing long memory in stock market volatility
• Periodic Long-Memory GARCH Models
• A k-Factor GARMA Long-memory Model

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