Fractionally integrated time varying GARCH model

Statistical Methods and Applications

Volumn 19, Issue 3, 2010, Pages 399-430

  Ben Nasr, Adnen ^a   Boutahar, Mohamed ^b   Trabelsi, Abdelwahed ^a  

^a UNIVERSITY OF TUNIS   (Tunisia)

^b Centre National de la Recherche Scientifique   (France)

Author keywords

Long memory; Model specification; Modeling volatility; Structural changes

Indexed keywords

EID: 77955090054     PISSN: 16182510     EISSN: 1613981X     Source Type: Journal    
DOI: 10.1007/s10260-010-0131-2     Document Type: Article

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