Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model

Journal of Empirical Finance

Volumn 18, Issue 2, 2011, Pages 368-378

  Kiliç, Rehim ^a  

^a KOÇ UNIVERSITY   (Turkey)

Author keywords

Asymmetry; FIGARCH; Long memory; Smooth Transition; STFIGARCH; Volatility

Indexed keywords

EID: 79951942553     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2010.11.007     Document Type: Article

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