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Volume 10, Issue 4
k -Factor GARMA models for intraday vola ....

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Applied Economics Letters Volume 10, 2003 - Issue 4

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Original Articles

k -Factor GARMA models for intraday volatility forecasting

Luisa Bisaglia Department of Statistics, Ca' Foscari University, Venezia, Italy

Silvano Bordignon Department of Statistics, University of Padova, Italy

Francesco Lisi Department of Statistics, University of Padova, Italy

Pages 251-254 | Published online: 06 Oct 2010

Cite this article
https://doi.org/10.1080/1350485032000050653

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Citations (9)

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Silvano Bordignon, Massimiliano Caporin & Francesco Lisi. (2008) Periodic Long-Memory GARCH Models. Econometric Reviews 28:1-3, pages 60-82.
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Articles from other publishers (8)

Tommaso Proietti & Federico Maddanu. (2022) Modelling cycles in climate series: The fractional sinusoidal waveform process. Journal of Econometrics, pages 105299.
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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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Tucker S. McElroy & Scott H. Holan. (2016) Computation of the autocovariances for time series with multiple long-range persistencies. Computational Statistics & Data Analysis 101, pages 44-56.
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G.S. Dissanayake, M.S. Peiris & T. Proietti. (2016) State space modeling of Gegenbauer processes with long memory. Computational Statistics & Data Analysis 100, pages 115-130.
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Guglielmo Maria Caporale & Luis Gil-Alana. (2014) Long-Run and Cyclical Dynamics in the US Stock Market. Journal of Forecasting 33:2, pages 147-161.
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Alex Gonzaga & Michael Hauser. (2010) A wavelet Whittle estimator of generalized long-memory stochastic volatility. Statistical Methods & Applications 20:1, pages 23-48.
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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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Tommaso Proietti & Federico Maddanu. (2021) Modelling Cycles in Climate Series: The Fractional Sinusoidal Waveform Process. SSRN Electronic Journal.
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