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Search: subject:"FI-PEGARCH"
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Long memory and Periodicity in Intraday Volatility
Rossi, Eduardo
;
Fanatazzini, Dean Fantazzini
-
Dipartimento di Scienze Economiche e Aziendali, …
-
2012
comparison with alternative models shows that a constrained version of the
FI-PEGARCH
provides superior forecasts. A simulation …
Persistent link: https://www.econbiz.de/10010592260
Saved in:
2
Long memory and periodicity in intraday volatility
Rossi, Eduardo
;
Fantazzini, Dean
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 922-961
Persistent link: https://www.econbiz.de/10011417840
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