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Applied Financial Economics Letters Volume 2, 2006 - Issue 1
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Original Articles

Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques

Guglielmo Maria Caporale Brunel Business School, Brunel University, Uxbridge, Middlesex UB8 3PH, UKCorrespondence[email protected]
&
Luis A. Gil-Alana University of Navarra, 31080 Pamplona, Navarra, Spain
Pages 9-12 | Published online: 19 Aug 2006

Citations (4)

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Read on this site (2)

Chin Wen Cheong, Zaidi Isa & Abu Hassan Shaari Mohd Nor. (2007) Modelling financial observable-volatility using long memory models. Applied Financial Economics Letters 3:3, pages 201-208.
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Chin Wen Cheong, Abu Hassan Shaari Mohd Nor & Zaidi Isa. (2007) An empirical study of realized and long-memory GARCH standardized stock-return. Applied Financial Economics Letters 3:2, pages 121-127.
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Articles from other publishers (2)

Gabriel J. Power & Calum G. Turvey. (2010) Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence. Physica A: Statistical Mechanics and its Applications 389:1, pages 79-90.
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Chin Wen Cheong, Abu Hassan Shaari Mohd Nor & Zaidi Isa. (2007) Asymmetry and long-memory volatility: Some empirical evidence using GARCH. Physica A: Statistical Mechanics and its Applications 373, pages 651-664.
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