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Can GARCH models capture long-range dependence?

Maheu, John - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10009949854

Can GARCH Models Capture Long-Range Dependence?

Maheu, John - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 4

This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can capture the long-range dependence observed in measures of time-series volatility. Long-range dependence is assessed through the sample autocorrelations, two popular semiparametric...

Persistent link: https://www.econbiz.de/10014620942

Bayesian forecasting in economics and finance : a modern review

Martin, Gael M.; Frazier, David T.; Maneesoonthorn, Worapree - In: International journal of forecasting 40 (2024) 2, pp. 811-839

Persistent link: https://www.econbiz.de/10014547209

Can GARCH Models Capture Long-Range Dependence?

Maheu, John - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 4, pp. 1269-1269

Persistent link: https://www.econbiz.de/10005751404

Can GARCH Models Capture Long-Range Dependence?

Maheu, John - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 4, pp. 1269-1269

Persistent link: https://www.econbiz.de/10004966253

Consumer governance in electricity markets

Daglish, Toby - In: Energy economics 56 (2016), pp. 326-337

Persistent link: https://www.econbiz.de/10011664247

Pricing effects of the electricity market reform in Brazil

Daglish, Toby; Bragança, Gabriel Godofredo Fiuza de; … - In: Energy economics 97 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012820050

Can market power in the electricity spot market translate into market power in the hedge market?

Bragança, Gabriel Godofredo Fiuza de; Daglish, Toby - In: Energy economics 58 (2016), pp. 11-26

Persistent link: https://www.econbiz.de/10011698480

Investing in vertical integration: electricity retail market participation

Bragança, Gabriel Godofredo Fiuza de; Daglish, Toby - In: Energy economics 67 (2017), pp. 355-365

Persistent link: https://www.econbiz.de/10011897933

Auctioning the digital dividend : a model for spectrum auctions

Daglish, Toby; Sağlam, Yiğit; Ho, Phuong - In: International journal of industrial organization 53 (2017), pp. 63-98

Persistent link: https://www.econbiz.de/10011804689