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Modelling Financial Processes with Long Memory in Mean and Variance

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  • Piotr Fiszeder
Abstract
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  • Piotr Fiszeder, 2006. "Modelling Financial Processes with Long Memory in Mean and Variance," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 133-142.
    • Handle: RePEc:cpn:umkdem:v:7:y:2006:p:133-142
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    File URL: http://www.dem.umk.pl/dem/archiwa/v7/13_Fiszeder06b_po%20korekcie.pdf
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    References listed on IDEAS

    as
    1. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    Full references (including those not matched with items on IDEAS)

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