Lombardi, Marco J.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2002
Long memory in conditional variance is one of the empirical features of most financial time series. One class of models that was suggested to capture this behavior refers to the so-called Fractionally Integrated GARCH processes (Baillie, Bollerslev and Mikkelsen 1996) in which the ideas of...
