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| Author: | Brunetti, C. Gilbert, C.L. |
| Title: | Bivariate FIGARCH and fractional cointegration |
| Journal: | Journal of Empirical Finance
2000 : DEC, VOL. 7:5, p. 509-530 |
| Index terms: | COINTEGRATION METHODOLOGY VOLATILITY |
| Language: | eng |
| Abstract: | The authors consider the modelling of volatility on closely related markets. Unvariate fractional volatility (FIGARCH) models are now standard, as are multivariate GARCH models. In this paper, they adopt a combination of the two methodologies. The contribution of this paper is to demonstrate the feasibility of estimating and testing cointegrated bivariate FIGARCH models. |
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