Long Memory Process in Asset Returns with Multivariate GARCH innovations
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References listed on IDEAS
- Gil-Alana, L. A., 2003. "A fractional multivariate long memory model for the US and the Canadian real output," Economics Letters, Elsevier, vol. 81(3), pages 355-359, December.
- John Barkoulas & Christopher Baum & Nickolaos Travlos, 2000. "Long memory in the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 177-184.
More about this item
KeywordsForecasting; Long memory; Multivariate GARCH; Stock Returns;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-18 (All new papers)
- NEP-ECM-2011-06-18 (Econometrics)
- NEP-ETS-2011-06-18 (Econometric Time Series)
- NEP-FOR-2011-06-18 (Forecasting)
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