English, Article edition: Modelling financial observable-volatility using long memory models Chin Wen Cheong; Zaidi Isa; Abu Hassan Shaari Mohd Nor

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/50922
Physical Description
  • article
Language
  • English

Edition details

Title
  • Modelling financial observable-volatility using long memory models
Author
  • Chin Wen Cheong
  • Zaidi Isa
  • Abu Hassan Shaari Mohd Nor
Physical Description
  • article
Notes
  • This article proposes a generalized long persistence observable volatility model which comprises of leverage effect autoregressive fractionally integrated moving average model with time-varying volatility and the inclusion of heterogeneous autoregressive components as the contemporaneous variables. Our empirical results found that the proposed model provides substantial improvement in the model fitting as well as specification.
  • RePEc:taf:apfelt:v:3:y:2007:i:3:p:201-208
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment