Long memory in stock index futures markets: A value-at-risk approach

By Tao Tang, Shwu-Jane Shieh. 2006

116 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/61b03cd6d3e3c89b8812f8bc4412902aab6edebf

Citations in the corpus

• Non-Negativity Conditions for the Hyperbolic GARCH Model (2010, unknown): “Finally, Tang and Shieh (2006) compare the performance of FIGARCH and HYGARCH models in predicting Value-at-Risk for three stock index futures markets.”