Identification of long memory in GARCH models

Statistical Methods and Applications

Volumn 12, Issue 2, 2003, Pages 133-151

  Caporin, Massimiliano ^a,b  

^a CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

^b GRETA Associati   (Italy)

Author keywords

FIGARCH; Identification; Long memory

Indexed keywords

EID: 29144460912     PISSN: 16182510     EISSN: 1613981X     Source Type: Journal    
DOI: 10.1007/s10260-003-0056-0     Document Type: Article

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