East Lansing, MI 48824-1121
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management
ARFIMA Models, Impulse Response, Long Memory
BDS test, correlation dimension, FIGARCH, high frequency data, intra day periodicity, volatility
This is a Wiley Blackwell - Medium Tier paper. Wiley Blackwell - Medium Tier charges $49.00 .
File name: JTSA.pdf
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Restricted models, realized volatility, models, models
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: RODE.pdf
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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