Asymmetric long memory GARCH in exchange return

Economics Letters

Volumn 73, Issue 1, 2001, Pages 1-5

  Hwang, Y ^a  

^a MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

Asymmetry; C22; FIFGARCH; Fractional integration; Long memory

Indexed keywords

EID: 0035612469     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(01)00462-1     Document Type: Article

References (4)

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3. Engle R.F. Autoregressive conditional heteroskedasticity with estimates of the variances of United Kingdom inflation. Econometrica. 50:1982;987-1007.
4. Taylor S. Modelling Financial Time Series. 1986;Wiley, New York.