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Showing 1 to 1 of 1 for “"Mixture memory"”.

  1. Essays on Conditional Heteroscedastic Time Series Models with Asymmetry, Long memory, and Structural Changes

    Yatawara, K C M R Anjana BandaraMissouri University of Science and Technology

    … of asset returns such as asymmetry, long memory, and structural breaks. First, we introduce a hybrid structure that combines short-memory asymmetric Glosten, Jagannathan, and Runkle (GJR) formulation and the long-memory fractionally integrated GARCH (FIGARCH) process for modeling financial …

    must-thes Repository record