On the Autocorrelation Properties of Long‐Memory GARCH Processes

By Menelaos Karanasos, Zacharias Psaradakis, M. Solá. 2004

51 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/78063be35488ec5792a8b75d3b566bb6f15af28d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Christian Conrad
2. Berthold R. Haag
3. Menelaos Karanasos

In Finance

1. Christian Conrad
2. Berthold R. Haag
3. Menelaos Karanasos

In Management Science and Operations Research

1. Christian Conrad
2. Berthold R. Haag

Citations in the corpus

• Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, unknown): “In the GARCH case, a corresponding specification has been proposed by Karanasos et al. (2004) based on an ARMA representation of GARCH processes and is closely related to the models by Zaffaroni (2004), Koulikov (2003) and Giraitis et al. (2004). Expressing (12) in terms of λt, a LMACP type I proces”
• Inequality Constraints in the Fractionally Integrated GARCH Model (2006, methodology): “Expressions for the ACF of the squared residuals in the LMGARCH(p, d, q) were derived in Karanasos, Psaradakis, and Sola (2004).6 While the long-run behavior of the ACF is governed by the fractional differencing parameter d, the short-run behavior is determined by 1 and 1.”