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Applied Economics Letters Volume 9, 2002 - Issue 11
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Original Articles

IGARCH effects: an interpretation

C. Morana
Pages 745-748 | Published online: 06 Oct 2010

Citations (12)

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Read on this site (4)

Işıl Akgül & Hülya Sayyan. (2008) Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models. Applied Financial Economics 18:6, pages 463-483.
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Paul M. Beaumont, Stefan C. Norrbin & F. Pinar Yigit. (2008) Time series evidence on the linkage between the volatility and growth of output. Applied Economics Letters 15:1, pages 45-48.
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Claudio Morana. (2006) Estimating long memory in the mark–dollar exchange rate with high frequency data. Applied Financial Economics Letters 2:6, pages 361-364.
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Claudio Morana & Andrea Beltratti. (2006) Structural breaks and common factors in the volatility of the Fama–French factor portfolios. Applied Financial Economics 16:14, pages 1059-1073.
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Articles from other publishers (8)

A. Galip Gençyürek & Ramazan Ekinci. (2023) Safe-haven and hedging roles of precious metals for BRICS and Turkey. Borsa Istanbul Review 23:2, pages 297-321.
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Jonathan Berrisch & Florian Ziel. (2022) Distributional modeling and forecasting of natural gas prices. Journal of Forecasting 41:6, pages 1065-1086.
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Yanlin Shi & Yang Yang. (2018) Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model. Risks 6:2, pages 26.
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J. B. Hill. (2013) Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series. Journal of Financial Econometrics 13:1, pages 1-44.
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Chaker Aloui & Hela ben Hamida. (2014) Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?. The North American Journal of Economics and Finance 29, pages 349-380.
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Lumengo Bonga‐Bonga & Jamela Hoveni. (2013) Volatility Spillovers between the Equity Market and Foreign Exchange Market in S outh A frica in the 1995‐2010 Period . South African Journal of Economics 81:2, pages 260-274.
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Richard T. Baillie & Claudio Morana. (2009) Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach. Journal of Economic Dynamics and Control 33:8, pages 1577-1592.
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Jonathan B. Hill. (2012) Robust Expected Shortfall Estimation and Inference for Infinite Variance Time Series. SSRN Electronic Journal.
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