haku: @indexterm METHODOLOGY / yhteensä: 1003
viite: 272 / 1003
| Tekijä: | Brunetti, C. Gilbert, C.L. |
| Otsikko: | Bivariate FIGARCH and fractional cointegration |
| Lehti: | Journal of Empirical Finance
2000 : DEC, VOL. 7:5, p. 509-530 |
| Asiasana: | COINTEGRATION METHODOLOGY VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | 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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