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Bordignon, Silvano and Caporin, Massimiliano and Lisi, Francesco (2005) SFIGARCH: a seasonal long memory GARCH model. [Working Paper] WORKING PAPER SERIES, 18/2005 . , PADOVA (Inedito)

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Abstract (english)

In this work we introduce an extension of the FIGARCH model, called SFIGARCH, to account for periodic and long memory components in intraday volatility of financial returns. An application on a real time series is provided.

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EPrint type:Working Paper
Anno di Pubblicazione:September 2005
Key Words:GARCH models, long memory, seasonality, volatility.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7083
Depositato il:09 Sep 2014 14:14
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