Generalised long-memory GARCH models for intra-daily volatility
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- Josu Arteche, 2006.
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- Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
- Zaffaroni, Paolo, 2004. "STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS," Econometric Theory, Cambridge University Press, vol. 20(01), pages 147-160, February.
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- Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.
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