Fractionally integrated time varying GARCH model

Adnen Ben Nasr (), Mohamed Boutahar and Abdelwahed Trabelsi ()

Statistical Methods & Applications, 2010, vol. 19, issue 3, 399-430

Keywords: Modeling volatility; Long memory; Structural changes; Model specification (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s10260-010-0131-2

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