Results 201 to 210 of about 2,339 (211)

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Journal of Econometrics, 1996
Tim Bollerslev
exaly  

Bivariate FIGARCH and franctional cointegration

1999
Brunetti, C., Gilbert, C.L.
openaire   +1 more source

Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates

Applied Financial Economics, 2002
Michel Beine, Sébastien Laurent, Christelle Lecourt   +2 more
exaly  

International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models

Energy Economics, 2010
Hassan Mohammadi
exaly  

Forecasting crude palm oil (CPO) prices with Arfima-Figarch method

AIP Conference Proceedings
Maulidya Maghfiro, Trianingsih Eni Lestari   +1 more
openaire   +1 more source

Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model

Journal of Empirical Finance, 2011
exaly  

VaR estimation using FIGARCH models

2010
openaire   +1 more source

Financial Stress Transmission from Sovereign Credit Market to Financial Market: A Multivariate FIGARCH-DCC Approach

Global Business Review, 2019
exaly  

High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities

Multinational Finance Journal, 2000
exaly  

I processi FIGARCH: un'applicazione all'indice MIB 30.

2001
openaire   +1 more source