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
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data...
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data...
O objetivo deste trabalho é apresentar e comparar diferentes métodos de modelagem da volatilidade (v...
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...
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...
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...
Intraday return volatilities are characterized by the contemporaneous presence of periodicity and lo...
Intraday return volatilities are characterized by the contemporaneous presence of periodicity and lo...
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data...
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data...
O objetivo deste trabalho é apresentar e comparar diferentes métodos de modelagem da volatilidade (v...
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...
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...
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...
Intraday return volatilities are characterized by the contemporaneous presence of periodicity and lo...
Intraday return volatilities are characterized by the contemporaneous presence of periodicity and lo...
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data...
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data...
O objetivo deste trabalho é apresentar e comparar diferentes métodos de modelagem da volatilidade (v...