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Misspecification tests for periodic long memory GARCH models

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  • Massimiliano Caporin

    ()

  • Francesco Lisi

    ()

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File URL: http://hdl.handle.net/10.1007/s10260-009-0118-z
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Bibliographic Info

Article provided by Springer in its journal Statistical Methods and Applications.

Volume (Year): 19 (2010)
Issue (Month): 1 (March)
Pages: 47-62

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Handle: RePEc:spr:stmapp:v:19:y:2010:i:1:p:47-62

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Related research

Keywords: Long memory; Generalized long memory GARCH models; PLM-GARCH models; Misspecification tests;

References

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  1. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  2. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.
  4. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  5. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 115-158, June.
  6. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 83(1-2), pages 325-348.
  7. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 151-184, July.
  8. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 3-30, September.
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