Tang, Ta-Lun; Shieh, Shwu-Jane - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 437-448
In this paper, we investigate the long memory properties for closing prices of three stock index futures markets. The FIGARCH (1, d, 1) and HYGARCH (1, d, 1) models with normal, Student-t, and skewed Student-t distributions for S&P500, Nasdaq100, and Dow Jones daily prices are estimated first....