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- W3121666900 abstract "Abstract. This paper derives the autocorrelation function of the squared values of long-memory GARCH processes. Such processes are of much interest as they can produce the long-memory conditional heteroskedasticity that many high-frequency financial time series exhibit. An empirical application illustrating the practical use of our results is also discussed." @default.
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- W3121666900 date "2004-03-01" @default.
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- W3121666900 title "On the Autocorrelation Properties of Long-Memory GARCH Processes" @default.
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- W3121666900 doi "https://doi.org/10.1046/j.0143-9782.2003.00349.x" @default.
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