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Long Memory and Nonlinearity in Financial Return Volatility: Modelling, Testing and Estimation

Program

Fulbright Visiting Scholar Program

Program Country

Grant Activity Type

Research

Discipline

Academic Year

Dates

September 2006 - March 2007

Flex

No

Scholar type

Non-U.S. (Visiting) Scholar

Project Title

Long Memory and Nonlinearity in Financial Return Volatility: Modelling, Testing and Estimation

Scholar Information

Grantee

Claudio Morana

Title

Associate Professor

Institution

University of Eastern Piedmont

Department

Department of Economics

Host Institutions

Institution

Michigan State University

Faculty

Prof. Richard Baillie

Host Department

Department of Economics