Generalised long-memory GARCH models for intra-daily volatility
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Citations
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Cited by:
- Eduardo Rossi & Dean Fantazzini, 2015.
"Long Memory and Periodicity in Intraday Volatility,"
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"Doubly fractional models for dynamic heteroscedastic cycles,"
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- Shelton Peiris & Manabu Asai & Michael McAleer, 2017.
"Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,"
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MDPI, Open Access Journal, vol. 10(4), pages 1-16, December.
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Energy Economics,
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- Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
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16-006/III, Tinbergen Institute.
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- Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Heni Boubaker & Nadia Sghaier, 2014. "Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach," Working Papers 2014-66, Department of Research, Ipag Business School.
- Manabu Asai & Shelton Peiris & Michael McAleer, 2017.
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2017-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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