East Lansing, MI 48824-1121
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management
in Total Papers Citations
ARFIMA Models, Impulse Response, Long Memory
BDS test, correlation dimension, FIGARCH, high frequency data, intra day periodicity, volatility
Autoregressive approximation, Confidence intervals, Impulse response function, Persistence
ARFIMA, FIGARCH, long memory, structural change, inflation, G7
FIGARCH, long memory, structural change, stock market volatility
Stock returns, volatility, market closings, GARCH
stock returns, volatility, risk, expected return
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