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Econometric Reviews Volume 28, 2008 - Issue 1-3
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Original Articles

Periodic Long-Memory GARCH Models

Silvano Bordignon Department of Statistics, University of Padova, Padova, Italy
,
Massimiliano Caporin Department of Economics, University of Padova, Padova, Italy
&
Francesco Lisi Department of Statistics, University of Padova, Padova, ItalyCorrespondence[email protected]
Pages 60-82 | Published online: 23 Dec 2008

Citations (19)

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Read on this site (2)

Massimiliano Caporin, Angelo Ranaldo & Gabriel G. Velo. (2015) Precious metals under the microscope: a high-frequency analysis. Quantitative Finance 15:5, pages 743-759.
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O. Lee & D. W. Shin. (2009) Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients. Communications in Statistics - Theory and Methods 39:1, pages 38-51.
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Articles from other publishers (17)

Heni Boubaker & Nawres Bannour. (2023) Coupling the Empirical Wavelet and the Neural Network Methods in Order to Forecast Electricity Price. Journal of Risk and Financial Management 16:4, pages 246.
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Heni Boubaker, Bassem Saidane & Mouna Ben Saad Zorgati. (2022) Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks. Financial Innovation 8:1.
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Manabu Asai, Michael McAleer & Shelton Peiris. (2020) Realized stochastic volatility models with generalized Gegenbauer long memory. Econometrics and Statistics 16, pages 42-54.
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João H. Gonçalves Mazzeu, Helena Veiga & Massimo B. Mariti. (2019) Modeling and forecasting the oil volatility index. Journal of Forecasting 38:8, pages 773-787.
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Massimiliano Caporin, Chia-Lin Chang & Michael McAleer. (2019) Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. International Review of Economics & Finance 59, pages 50-70.
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Christian Leschinski & Philipp Sibbertsen. (2019) Model order selection in periodic long memory models. Econometrics and Statistics 9, pages 78-94.
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Yong Kheng Goh, Haslifah M. Hasim & Chris G. Antonopoulos. (2018) Inference of financial networks using the normalised mutual information rate. PLOS ONE 13:2, pages e0192160.
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Josu Arteche & Javier García-Enríquez. (2017) Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. Econometrics and Statistics 1, pages 85-98.
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Eduardo Rossi & Dean Fantazzini. (2015) Long Memory and Periodicity in Intraday Volatility. Journal of Financial Econometrics 13:4, pages 922-961.
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Eduardo Rossi & Filippo Spazzini. 2014. Handbook of Multi-Commodity Markets and Products. Handbook of Multi-Commodity Markets and Products 687 753 .
Massimiliano Caporin & Francesco Lisi. (2009) Misspecification tests for periodic long memory GARCH models. Statistical Methods and Applications 19:1, pages 47-62.
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Silvano Bordignon, Massimiliano Caporin & Francesco Lisi. (2007) Generalised long-memory GARCH models for intra-daily volatility. Computational Statistics & Data Analysis 51:12, pages 5900-5912.
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Manabu Asai, Michael McAleer & Shelton Peiris. (2017) Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. SSRN Electronic Journal.
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Ahmed A.A. Khalifa, Massimiliano Caporin & Shawkat M. Hammoudeh. (2014) Asymmetry and Uncertainty Across Energy and FX Markets. SSRN Electronic Journal.
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Massimiliano Caporin, Angelo Ranaldo & Gabriel G. Velo. (2013) Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals. SSRN Electronic Journal.
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Massimiliano Caporin, Juliusz Pres & Hipòlit Torró. (2010) Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options. SSRN Electronic Journal.
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Massimiliano Caporin & Francesco Lisi. (2007) Misspecification Tests for Periodic Long Memory GARCH Models. SSRN Electronic Journal.
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