Asymmetric long memory GARCH in exchange return.

DOI10.1016/S0165-1765(01)00462-1zbMath1077.62536WikidataQ127229717 ScholiaQ127229717MaRDI QIDQ5941467

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Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Long memoryAsymmetryFIFGARCHFractional integration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

The stationary seasonal hyperbolic asymmetric power ARCH model ⋮ Relationship between inflation rate and inflation uncertainty. ⋮ Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH

Cites Work

• Unnamed Item
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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