Ruiz, Esther; Veiga, Helena Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH. (English) Zbl 1452.62787 Comput. Stat. Data Anal. 52, No. 6, 2846-2862 (2008). MSC: 62P05 62M10 62P20 62-08 PDFBibTeX XMLCite \textit{E. Ruiz} and \textit{H. Veiga}, Comput. Stat. Data Anal. 52, No. 6, 2846--2862 (2008; Zbl 1452.62787) Full Text: DOI Link
Pérez, Ana; Ruiz, Esther Finite sample properties of a QML estimator of stochastic volatility models with long memory. (English) Zbl 1110.62335 Econ. Lett. 70, No. 2, 157-164 (2001). MSC: 62P05 62M10 PDFBibTeX XMLCite \textit{A. Pérez} and \textit{E. Ruiz}, Econ. Lett. 70, No. 2, 157--164 (2001; Zbl 1110.62335) Full Text: DOI