Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
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Volume (Year): 25 (2010)
Issue (Month): 1 (March)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 177-210.
- 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, . "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, .
"Rescaled variance and related tests for long memory in volatility and levels,"
CORE Discussion Papers RP
-1594, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
- Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
- Michel Beine & Sébastien Laurent & Christelle Lecourt, 2002.
"Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates,"
ULB Institutional Repository
2013/10443, ULB -- Universite Libre de Bruxelles.
- Michel Beine & Sebastien Laurent & Christelle Lecourt, 2002. "Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 12(8), pages 589-600.
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