Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
نویسندگان
چکیده
منابع مشابه
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
In this paper, we propose a new stochastic volatility model, called A-LMSV, to cope simultaneously with the leverage effect and long-memory. We derive its statistical properties and compare them with the properties of the FIEGARCH model. We show that the dependence of the autocorrelations of squares on the parameters measuring the asymmetry and the persistence is different in both models. The k...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2008
ISSN: 0167-9473
DOI: 10.1016/j.csda.2007.09.031