Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

Journal of Economic Dynamics and Control

Volumn 33, Issue 8, 2009, Pages 1577-1592

  Baillie, Richard T ^a,b   Morana, Claudio ^c,d,e  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^c UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^d International Centre for Economic Research   (Italy)

^e Center for Research on Pensions and Welfare Policies (CeRP)   (Italy)

Author keywords

FIGARCH; Long memory; Stock market volatility; Structural change

Indexed keywords

EID: 67349112865     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2009.02.009     Document Type: Article

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