Seasonal FIEGARCH processes-Reference-Cited by-同舟云学术

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Seasonal FIEGARCH processes

Published:2013-12 Issue: Volume:68 Page:262-295
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Lopes Sílvia R.C.,Prass Taiane S.

Funder

CNPq-Brazil

CAPES-Brazil

INCT em Matemática

(Brazilian) National Center of Super Computing (CESUP-UFRGS)

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference34 articles.

1. Great realizations;Andersen;Risk,2000

2. Fractionally integrated generalized autoregressive conditional heteroskedasticity;Baillie;Journal of Econometrics,1996

3. Probability and Measure;Billingsley,1995

4. Regular Variation;Bingham,1987

5. Properties of seasonal long memory processes;Bisognin;Mathematical and Computer Modelling,2009

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1. SYMARFIMA: A dynamical model for conditionally symmetric time series with long range dependence mean structure;Journal of Statistical Planning and Inference;2023-07

2. Detecting long-range dependence with truncated ratios of periodogram ordinates;Communications in Statistics - Theory and Methods;2020-01-20

3. Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications;Studies in Nonlinear Dynamics & Econometrics;2018-02-01

4. Flogarch: Realizing Long Memory and Asymmetries in Returns Volatility;SSRN Electronic Journal;2015

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