asymmetric response to return shocks and the long memory property. Up till now, these have largely been modeled in isolation … though. To more flexibly capture asymmetry also with respect to the memory structure we introduce a new model and apply it to …

long memory in realized covariance, prediction of Lévy-driven CARMA processes, functional index coefficient models with … misspecification test for multiplicative error models of non-negative time series processes, sample quantile analysis for long-memory …-threshold double autoregressive models, a new hyperbolic GARCH model, intraday value-at-risk: an asymmetric autoregressive conditional …

positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …

positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …