Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
type: Item
instance of: scholarly article
title: Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
zbMATH Open document ID: 1452.62787
author: Helena Veiga
author: Esther Ruiz
published in: Computational Statistics and Data Analysis
publication date: 2009-06-12T00:00:00Z
full work available at URL: http://hdl.handle.net/10016/5024
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62-08
zbMATH DE Number: 5564675
zbMATH Keywords: autocorrelations of squares and of absolute values
zbMATH Keywords: conditional heteroscedasticity
zbMATH Keywords: kurtosis
zbMATH Keywords: EMM estimator
MaRDI profile type: Publication
OpenAlex ID: W2011780523
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DOI: 10.1016/J.CSDA.2007.09.031
description: scientific article; zbMATH DE number 5564675