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Risk Measure Estimation On Fiegarch Processes
Long Memory Models Volatility Risk Measure Estimation FIEGARCH Processes
2013/6/17
We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We pre...