search query: @author Mikkelsen, H. / total: 4
reference: 1 / 4
« previous | next »
| Author: | Bollerslev, T. Mikkelsen, H. |
| Title: | Modeling and pricing long memory in stock market volatility |
| Journal: | Journal of Econometrics
1996 : JUL, VOL. 73:1, p. 151-184 |
| Index terms: | ECONOMICS MODELS PRICING |
| Language: | eng |
| Abstract: | A new class of fractionally integrated GARCH and EGARCH models for characterizing financial market volatility is discussed. Monte Carlo simulations illustrate the reliability of quasi maximum likelihood estimation methods, standard model selection criteria, and residual-based portmanteau diagnostic tests in this context. New empirical evidence suggests that the apparent long-run dependence in U.S. stock market volatility is best described by a mean-reverting fractionally integrated process. |
« previous | next »
SCIMA