How to cite this paper
Selmi, N & Hachicha, N. (2015). Multivariate FIGARCH and long memory process: evidence of oil price markets.Management Science Letters , 5(9), 873-882.
Refrences
Askari, H., & Khrichene, N. (2008). Oil price dynamics (2002-2006). Energy Economics, 30, 2134-2153.
Baba, Y., Engle, R.F. Kraft, D.F. & Kroner, K.F. (1989). Multivariate simultaneous generalized ARCH. Department of Economics, University of California, San Diego., Discussion paper 89-57.
Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Breidt, F. J., Crato, N., & De Lima, P. (1998). The detection and estimation of long memory in stochastic volatility. Journal of Econometrics, 83(1), 325-348.
Broner, F., & Gelos, G. (2003). Testing the portfolio channel of contagion: the role of risk aversion. Universitat Pompeu-Fabr.
Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models.Journal of Business & Economic Statistics, 20(3), 339-350.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 50(4), 987-1007.
Hosking, J. (1981). Fractional Differencing. Biometrika, 68(1), 165-167.
Huang, Y.C., Li, C., & Ma, W.F. (2005). The dilemma and outlet of China & apos; s oil price risk management. World Economy Study, 10, 22-26.
Granger, C.W.J, & Joyeux, R. (1980). An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis, 1(1), 15-29.
Kaminsky, G. L., & Reinhart, C. M. (1999). The twin crises: the causes of banking and balance-of-payments problems. American Economic Review, 89(3), 473-500.
Kaminsky, G. L., & Reinhart, C. M. (2000). On crises, contagion, and confusion. Journal of International Economics, 51(1), 145-168.
Larsson, K. & Nossman, M. (2011). Jumps and stochastic volatility in oil prices: Time series evidence. Energy Economics, 33, 504-514.
Li, P.M., Jia, M., & Zhang, G.Y. (2005). China & apos; s strategies for the high oil price. Macroeconomics. 12, 8-14 (in Chinese).
Sans?, A., Arag?, V., & Carrion, J. L. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Econom?a financiera,4, 32-53.
Shiller, R. J. (2000). Measuring bubble expectations and investor confidence.The Journal of Psychology and Financial Markets, 1(1), 49-60.
Baba, Y., Engle, R.F. Kraft, D.F. & Kroner, K.F. (1989). Multivariate simultaneous generalized ARCH. Department of Economics, University of California, San Diego., Discussion paper 89-57.
Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Breidt, F. J., Crato, N., & De Lima, P. (1998). The detection and estimation of long memory in stochastic volatility. Journal of Econometrics, 83(1), 325-348.
Broner, F., & Gelos, G. (2003). Testing the portfolio channel of contagion: the role of risk aversion. Universitat Pompeu-Fabr.
Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models.Journal of Business & Economic Statistics, 20(3), 339-350.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 50(4), 987-1007.
Hosking, J. (1981). Fractional Differencing. Biometrika, 68(1), 165-167.
Huang, Y.C., Li, C., & Ma, W.F. (2005). The dilemma and outlet of China & apos; s oil price risk management. World Economy Study, 10, 22-26.
Granger, C.W.J, & Joyeux, R. (1980). An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis, 1(1), 15-29.
Kaminsky, G. L., & Reinhart, C. M. (1999). The twin crises: the causes of banking and balance-of-payments problems. American Economic Review, 89(3), 473-500.
Kaminsky, G. L., & Reinhart, C. M. (2000). On crises, contagion, and confusion. Journal of International Economics, 51(1), 145-168.
Larsson, K. & Nossman, M. (2011). Jumps and stochastic volatility in oil prices: Time series evidence. Energy Economics, 33, 504-514.
Li, P.M., Jia, M., & Zhang, G.Y. (2005). China & apos; s strategies for the high oil price. Macroeconomics. 12, 8-14 (in Chinese).
Sans?, A., Arag?, V., & Carrion, J. L. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Econom?a financiera,4, 32-53.
Shiller, R. J. (2000). Measuring bubble expectations and investor confidence.The Journal of Psychology and Financial Markets, 1(1), 49-60.