k-Factor GARMA models for intraday volatility forecasting

Applied Economics Letters

Volumn 10, Issue 4, 2003, Pages 251-254

  Bisaglia, Luisa ^a   Bordignon, Silvano ^b   Lisi, Francesco ^b  

^a CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

^b UNIVERSITY OF PADOVA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET;

EID: 0038302706     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485032000050653     Document Type: Article

References (8)

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3. Dacorogna, M. M., Muller, U. A., Nagler, R. J., Olsen, R. B. and Pictet, O. V. (1993) A geographical model for the daily and weekly seasonal volatility in the foreign exchange market, Journal of International Money and Finance, 12, 413-38.
4. Fox, R. and Taqqu, M. S. (1986) Large sample properties of parameter estimates for strongly dependent stationary gaussian time series. The Annals of Statistics, 14, 517-32.
5. Fuller, W.A. (1996) Introduction to statistical time series, Wiley, New York.
6. Giraitis, L. and Leipus, R. (1995) A generalized fractionally differencing approach in long-memory modeling, Lithuanian Mathematical Journal, 35, 53-65.
7. Wright, J. H. and Bollerslev, T. (1999) High frequency data, frequency domain inference and volatility forecasting, International Finance Discussion Papers, n.649, Board of Governors of the Federal Reserve Sysytem, Washington, DC.
8. Woodward, W. A., Cheng, Q. C. and Gray, H. L. (1998) A k-factor GARMA long-memory model, Journal of Time Series Analysis, 4, 485-504.