in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid … that the long memory property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH …-M) effect in the return equation. The filtering of the volatility-in-mean component thus allows the co-existence of long memory …

(2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a …

time diffusion models ; models with jumps ; stochastic volatility ; GARCH …