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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Ruiz, E. & Veiga, H. (2008). Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH. Computational Statistics and Data Analysis. 52 (6), 2846-2862
Exportar Referência (IEEE) 
E. Ruiz and M. H. Veiga,  "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH", in Computational Statistics and Data Analysis, vol. 52, no. 6, pp. 2846-2862, 2008
Exportar BibTeX 
@article{ruiz2008_1714724185723,
	author = "Ruiz, E. and Veiga, H.",
	title = "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH",
	journal = "Computational Statistics and Data Analysis",
	year = "2008",
	volume = "52",
	number = "6",
	doi = "10.1016/j.csda.2007.09.031",
	pages = "2846-2862",
	url = "http://www.sciencedirect.com/science/article/pii/S0167947307003544?via%3Dihub"
}
Exportar RIS 
TY  - JOUR
TI  - Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
T2  - Computational Statistics and Data Analysis
VL  - 52
IS  - 6
AU  - Ruiz, E.
AU  - Veiga, H.
PY  - 2008
SP  - 2846-2862
SN  - 0167-9473
DO  - 10.1016/j.csda.2007.09.031
UR  - http://www.sciencedirect.com/science/article/pii/S0167947307003544?via%3Dihub
AB  - A new stochastic volatility model, called A-LMSV, is proposed to cope simultaneously with leverage effect and long-memory in volatility. Its statistical properties are derived and compared with the properties of the FIEGARCH model. It is shown that the dependence of the autocorrelations of squares on the parameters measuring the asymmetry and the persistence is different in both models. The kurtosis and autocorrelations of squares do not depend on the asymmetry in the A-LMSV model while they increase with the asymmetry in the FIEGARCH model. Furthermore, the autocorrelations of squares increase with the persistence in the A-LMSV model and decrease in the FIEGARCH model. On the other hand, if the correlation between returns and future volatilities is negative, the autocorrelations of absolute returns increase with the magnitude of the asymmetry in the FIEGARCH model while they decrease in the A-LMSV model. Finally, the cross-correlations between squares and original observations are, in general, larger in absolute value in the FIEGARCH model than in the A-LMSV model. The results are illustrated by fitting both models to represent the dynamic evolution of volatilities of daily returns of the S&P500 and DAX indexes.
ER  -