ARCH-type bilinear models with double long memory-Reference-Cited by-同舟云学术

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ARCH-type bilinear models with double long memory

Published:2002-07 Issue:1-2 Volume:100 Page:275-300
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Giraitis Liudas,Surgailis Donatas

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference30 articles.

1. Analysing inflation by the fractionally integrated ARFIMA-GARCH model;Baillie;J. Appl. Econometrics,1996

2. Convergence of Probability Measures;Billingsley,1968

3. Modelling and pricing long memory in stock market volatility;Bollerslev;J. Econometrics,1996

4. Stationarity of GARCH processes and of some non-negative time series;Bougerol;J. Econometrics,1992

5. Modelling Extremal Events for Insurance and Finance;Embrechts,1997

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1. An improved FIGARCH model with the fractional differencing operator (1-νL);Finance Research Letters;2023-07

2. Spectral analysis for GARCH processes through a bilinear representation;Communications in Statistics - Theory and Methods;2022-02-17

3. References;GARCH Models;2019-03-25

4. Log-Optimal Portfolios with Memory Effect;Applied Mathematical Finance;2018-11-02

5. Log-Optimal Portfolios with Memory Effect;SSRN Electronic Journal;2018

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