Add to ORKGIn 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
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the...
This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago M...
This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago M...
In this work we introduce an extension of the FIGARCH model, called SFIGARCH, to account for periodi...
A distinguishing feature of the intra-day time-varying volatility of financial time series is given ...
A distinguishing feature of the intraday time-varying volatility of financial time series is given b...
A distinguishing feature of the intra-day time-varying volatility of financial time series is given ...
The class of fractionally integrated generalised autoregressive conditional heteroskedastic (FIGARCH...
The class of fractionally integrated generalised autoregressive conditional heteroskedastic (FIGARCH...
Most financial time series exhibit seasonality, persistence (hyperbolic decay of the autocorrelation...
Papier présenté à la Conférence organisée par Eurostat sur " Seasonality, Seasonal Adjustment and th...
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data...
Papier présenté à la Conférence organisée par Eurostat sur " Seasonality, Seasonal Adjustment and th...
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the...
This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago M...
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the...
This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago M...
This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago M...
In this work we introduce an extension of the FIGARCH model, called SFIGARCH, to account for periodi...
A distinguishing feature of the intra-day time-varying volatility of financial time series is given ...
A distinguishing feature of the intraday time-varying volatility of financial time series is given b...
A distinguishing feature of the intra-day time-varying volatility of financial time series is given ...
The class of fractionally integrated generalised autoregressive conditional heteroskedastic (FIGARCH...
The class of fractionally integrated generalised autoregressive conditional heteroskedastic (FIGARCH...
Most financial time series exhibit seasonality, persistence (hyperbolic decay of the autocorrelation...
Papier présenté à la Conférence organisée par Eurostat sur " Seasonality, Seasonal Adjustment and th...
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data...
Papier présenté à la Conférence organisée par Eurostat sur " Seasonality, Seasonal Adjustment and th...
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the...
This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago M...
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the...
This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago M...
This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago M...