63
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

k -Factor GARMA models for intraday volatility forecasting

, &
Pages 251-254 | Published online: 06 Oct 2010

References

  • Andersen , T. G. and Bollerslev , T. 1997 . Intraday periodicity and volatility persistence in financial markets . Journal of Empirical Finance , 4 : 115 – 158 .
  • Bisaglia , L. and Bordignon , S. 2002 . Mean square prediction error for long-memory processes . Statistical Papers , 43 : 161 – 175 .
  • Dacorogna , M. M. , Muller , U. A. , Nagler , R. J. , Olsen , R. B. and Pictet , O. V. 1993 . A geographical model for the daily and weekly seasonal volatility in the foreign exchange market . Journal of International Money and Finance , 12 : 413 – 438 .
  • Fox , R. and Taqqu , M. S. 1986 . Large sample properties of parameter estimates for strongly dependent stationary gaussian time series . The Annals of Statistics , 14 : 517 – 532 .
  • Fuller , W. A. 1996 . Introduction to statistical time series , New York : Wiley .
  • Giraitis , L. and Leipus , R. 1995 . A generalized fractionally differencing approach in long-memory modeling . Lithuanian Mathematical Journal , 35 : 53 – 65 .
  • Wright , J. H. and Bollerslev , T. 1999 . High frequency data, frequency domain inference and volatility forecasting , International Finance Discussion Papers, n.649 Washington, DC : Board of Governors of the Federal Reserve Sysytem .
  • Woodward , W. A. , Clicng , Q. C. and Gray , H. L. 1998 . A k-factor GARMA long-memory model . Journal of Time Series Analysis , 4 : 485 – 504 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.