Long memory properties and covariance structure of the EGARCH model

ESAIM - Probability and Statistics

Volumn 6, Issue , 2002, Pages 311-329

  Surgailis, Donatas ^a   Viano, Marie Claude ^b  

^a VILNIUS UNIVERSITY   (Lithuania)

^b UNIV LILLE   (France)

Author keywords

EGARCH models; Long memory; Partial sums; Rescaled range

Indexed keywords

EID: 0036997769     PISSN: 12928100     EISSN: None     Source Type: Journal    
DOI: 10.1051/ps:2002017     Document Type: Article

References (33)