Memory and persistence in models of volatility in financial time series
This thesis first investigates the moment and memory properties of exponential-type conditional heteroscedasticity models. This primarily includes exponential generalised autoregressive conditional heteroscedastic (EGARCH) models, the fractionally integrated EGARCH model of Bollerslev and Mikkelsen...
| Main Author: | |
|---|---|
| Other Authors: | |
| Published: |
University of Exeter
2016
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.705513 |