The impulse response function of the long memory GARCH process
type: Item
instance of: scholarly article
title: The impulse response function of the long memory GARCH process
zbMATH Open document ID: 1255.62238
author: Christian Conrad
author: Menelaos Karanasos
published in: Economics Letters
publication date: 2013-01-03T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6121842
zbMATH Keywords: cumulative impulse response function
zbMATH Keywords: long memory GARCH process
MaRDI profile type: Publication
full work available at URL: j.econlet.2005.07.001
OpenAlex ID: W2039981721
cites work: Long memory processes and fractional integration in econometrics
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cites work: Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance
cites work: Q3400722
cites work: On the Autocorrelation Properties of Long‐Memory GARCH Processes
cites work: Microeconomic Models for Long Memory in the Volatility of Financial Time Series
cites work: Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
cites work: STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
DOI: 10.1016/J.ECONLET.2005.07.001
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description: scientific article; zbMATH DE number 6121842