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~isPartOf:"Working paper"
~person:"Baillie, Richard"
~subject:"Time series analysis"
~subject:"Zeitreihenanalyse"
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Baillie, Richard
McAleer, Michael
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ECONIS (ZBW)
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Long memory, realized
volatility
and HAR models
Baillie, Richard
;
Calonaci, Fabio
;
Cho, Dooyeon
;
Rho, …
-
2019
The presence of long memory in Realized
Volatility
(RV) is a widespread stylized fact. The origins of long memory in RV …
Persistent link: https://www.econbiz.de/10011964976
Saved in:
2
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard
;
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
-
1994
-
current version
Persistent link: https://www.econbiz.de/10000891757
Saved in:
3
Testing for neglected nonlinearity in long memory models
Baillie, Richard
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10002808664
Saved in:
4
Modeling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach
Baillie, Richard
(
contributor
);
Morana, Claudio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003428583
Saved in:
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