Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH

Computational Statistics and Data Analysis

Volumn 52, Issue 6, 2008, Pages 2846-2862

  Ruiz, Esther ^a   Veiga, Helena ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Autocorrelations of squares and of absolute values; Conditional heteroscedasticity; EMM estimator; Kurtosis

Indexed keywords

AUTOCORRELATION; PARAMETER ESTIMATION; STATISTICAL METHODS;

CONDITIONAL HETEROSCEDASTICITY; VOLATILITIES;

STOCHASTIC MODELS;

EID: 39049088134     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.09.031     Document Type: Article

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