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