SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence-Reference-Cited by-同舟云学术

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SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence

Published:2012-06-07 Issue:2 Volume:41 Page:249-265
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Chikhi Mohamed,Péguin-Feissolle Anne,Terraza Michel

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-012-9328-9.pdf

Reference47 articles.

1. Akaike H. (1970) Statistical predictor identification. Annals of Institute of Statistical Mathematics 22: 203–217

2. Aloui C., Mabrouk S. (2010) Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models. Energy Policy 38: 2326–2339

3. Andrews D. W. K., Guggenberger P. (2003) A bias-reduced log-periodogram regression estimator for the long-memory parameter. Econometrica 71: 675–712

4. Baillie R. T., Bollerslev T, Mikkelsen H. O. (1996) Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74: 3–30

5. Barkoulas J. T., Baum C. F. (1997) Long memory and forecasting in Euroyen deposit rates. Financial Engineering and the Japanese Market 4: 189–201

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