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Citations for "Inequality Constraints in the Fractionally Integrated GARCH Model"

by Christian Conrad & Berthold R. Haag

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  1. KIlIç, Rehim, 2011. "Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 368-378, March.
  2. Conrad, Christian & Karanasos, Menelaos, 2010. "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 26(03), pages 838-862, June.
  3. repec:ipg:wpaper:9 is not listed on IDEAS
  4. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2013. "Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models," Working Papers, Department of Research, Ipag Business School 2013-009, Department of Research, Ipag Business School.
  5. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 07-162, KOF Swiss Economic Institute, ETH Zurich.
  6. Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle, 2012. "Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2012-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. repec:ipg:wpaper:201409 is not listed on IDEAS
  8. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers, Department of Research, Ipag Business School 2014-389, Department of Research, Ipag Business School.
  9. Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print, HAL hal-00940312, HAL.
  10. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers, University of Pretoria, Department of Economics 201357, University of Pretoria, Department of Economics.
  11. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers, University of Milano-Bicocca, Department of Economics 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
  12. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, Springer, vol. 10(3), pages 169-196, September.
  13. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 11-2007, ICER - International Centre for Economic Research.
  14. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 436-456.
  15. Axel Groß-Klußmann & Nikolaus Hautsch, 2011. "Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2011-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  16. Barbara Bedowska-Sojka, 2011. "The Impact of Macro News on Volatility of Stock Exchanges," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, Uniwersytet Mikolaja Kopernika, vol. 11, pages 99-110.
  17. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 06-2009, ICER - International Centre for Economic Research.
  18. J. Kim & A. Kartsaklas & M. Karanasos, 2005. "The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997," Asia-Pacific Financial Markets, Springer, Springer, vol. 12(3), pages 245-271, September.
  19. Rehim Kilic, 2011. "A conditional variance tale from an emerging economy's freely floating exchange rate," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 43(19), pages 2465-2480.
  20. Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers, University of Heidelberg, Department of Economics 0472, University of Heidelberg, Department of Economics, revised Jul 2008.
  21. Masato Ubukata & Toshiaki Watanabe, 2013. "Pricing Nikkei 225 Options Using Realized Volatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-273, Institute of Economic Research, Hitotsubashi University.
  22. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers, University of Milano-Bicocca, Department of Economics 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
  23. repec:wyi:journl:002190 is not listed on IDEAS
  24. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers, University of Heidelberg, Department of Economics 0497, University of Heidelberg, Department of Economics.
  25. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, Elsevier, vol. 29(6), pages 2451-2459.
  26. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 1106-1116, May.
  27. Masato Ubukata & Toshiaki Watanabe, 2011. "Pricing Nikkei 225 Options Using Realized Volatility," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan 11-E-18, Institute for Monetary and Economic Studies, Bank of Japan.
  28. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers, Federal Reserve Bank of St. Louis 2012-008, Federal Reserve Bank of St. Louis.
  29. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods and Applications, Springer, Springer, vol. 19(3), pages 399-430, August.