Open AccessLong Memory in LME Volatility through the ARFIMA and FIGARCH Model
Author(s) -
Jaehwan Park,
Hyun Sook Kim
Publication year - 2016
Publication title -
korean journal of financial engineering
Language(s) - English
Resource type - Journals
eISSN - 2713-7252
pISSN - 1738-124X
DOI - 10.35527/kfedoi.2016.15.4.002
Subject(s) - autoregressive fractionally integrated moving average , long memory , volatility (finance) , econometrics , economics , keynesian economics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom