Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with … specifications as well as fractional integrated parametrization of the volatility process, perform better in predicting the one … asymmetries in the volatility specifications as well as
fractional integrated parametrization of the volatility process, perform …