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Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models

  • Agnieszka Jach

    ()

  • Piotr Kokoszka

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s00180-009-0168-6
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    Article provided by Springer in its journal Computational Statistics.

    Volume (Year): 25 (2010)
    Issue (Month): 1 (March)
    Pages: 163-182

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    Handle: RePEc:spr:compst:v:25:y:2010:i:1:p:163-182
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    1. Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 177-210.
    2. 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.
    3. 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).
    4. 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.
    5. 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.
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