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On the Estimation of Asymmetric Long Memory Stochastic Volatility Models

  • Author
  • Omar Abbara
  • Co-authors
  • Mauricio Zevallos
  • Abstract
  • Keywords
  • value-at-risk, leverage effect, long memory
  • Modality
  • Comunicação oral
  • Subject Area
  • ESTE 2023
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Reference

ABBARA, Omar; ZEVALLOS, Mauricio. On the Estimation of Asymmetric Long Memory Stochastic Volatility Models. In: ESTE 2023 - Hotel Torres da Cachoeira, 2023. Available in: <https://doity.com.br/anais/este-2023/trabalho/288944>. Available in: 19/12/2024 at 04:20

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