Go to the content. | Move to the navigation | Go to the site search | Go to the menu | Contacts | Accessibility

| Create Account

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)

Full text disponibile come:

[img]
Preview
PDF Document
197Kb

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.


Statistiche Download - Aggiungi a RefWorks
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
Simple Metadata
Full Metadata
EndNote Format

Download statistics

Solo per lo Staff dell Archivio: Modifica questo record