LARCH, leverage and long memory
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Cited by:
- Bardet, Jean-Marc & Doukhan, Paul & Wintenberger, Olivier, 2022. "Contrast estimation of time-varying infinite memory processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 32-85.
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Keywords
Leverage; long memory; linear ARCH; LARCH; finiteness of moments;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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