On the autocorrelation properties of long-memory GARCH processes

Journal of Time Series Analysis

Volumn 25, Issue 2, 2004, Pages 265-282

  Karanasos, Menelaos ^a   Psaradakis, Zacharias ^a,c   Sola, Martin ^b  

^a UNIVERSITY OF YORK   (United Kingdom)

^b UNIVERSIDAD TORCUATO DI TELLA   (Argentina)

^c UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Autocorrelation function; Fractionally integrated GARCH process; Long memory GARCH process

Indexed keywords

EID: 1642634058     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1046/j.0143-9782.2003.00349.x     Document Type: Article

References (14)

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