The impulse response function of the long memory GARCH process
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Christian Conrad & Berthold R. Haag, 2006. "Inequality Constraints in the Fractionally Integrated GARCH Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 413-449.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Zaffaroni, Paolo, 2004. "STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS," Econometric Theory, Cambridge University Press, vol. 20(01), pages 147-160, February.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, 2004.
"On the Autocorrelation Properties of Long-Memory GARCH Processes,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 25(2), pages 265-282, March.
- Martin Sola & M Karansos & Zacharias Psaradakis, 2002. "On the autocorrelation properties of Long Memory Garch Processes," Department of Economics Working Papers 025, Universidad Torcuato Di Tella.
- Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
- Conrad, C. & Karanasos, M., 2005. "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach," Japan and the World Economy, Elsevier, vol. 17(3), pages 327-343, August.
- Conrad Christian & Karanasos Menelaos, 2005. "Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-38, December.
- Davidson, James, 2004. "Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 16-29, January.
- Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 177-210.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:spr:qualqt:v:51:y:2017:i:3:d:10.1007_s11135-016-0341-2 is not listed on IDEAS
- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Conrad, Christian, 2010.
"Non-negativity conditions for the hyperbolic GARCH model,"
Journal of Econometrics,
Elsevier, pages 441-457.
- Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.
- Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011.
"Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study,"
Journal of Empirical Finance,
Elsevier, vol. 18(1), pages 147-159, January.
- Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008.
- Conrad, Christian & Weber, Enzo, 2013.
"Measuring Persistence in Volatility Spillovers,"
Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
79850, Verein für Socialpolitik / German Economic Association.
- Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Working Papers 0543, University of Heidelberg, Department of Economics.
- Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," University of Regensburg Working Papers in Business, Economics and Management Information Systems 473, University of Regensburg, Department of Economics.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:90:y:2006:i:1:p:34-41. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ecolet .