<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="6.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Lopes, Sílvia R.C.</style></author><author><style face="normal" font="default" size="100%">Prass, Taiane S.</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">Seasonal FIEGARCH processes</style></title><secondary-title><style face="normal" font="default" size="100%">Computational Statistics &amp; Data Analysis</style></secondary-title></titles><keywords><keyword><style  face="normal" font="default" size="100%">FIEGARCH process</style></keyword><keyword><style  face="normal" font="default" size="100%">Long-range dependence</style></keyword><keyword><style  face="normal" font="default" size="100%">Periodicity</style></keyword><keyword><style  face="normal" font="default" size="100%">Volatility</style></keyword></keywords><dates><year><style  face="normal" font="default" size="100%">2013</style></year></dates><urls><web-urls><url><style face="normal" font="default" size="100%">http://www.sciencedirect.com/science/article/pii/S0167947313002466</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">68</style></volume><pages><style face="normal" font="default" size="100%">262 - 295</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;Here we develop the theory of seasonal FIEGARCH processes, denoted by SFIEGARCH, establishing conditions for the existence, the invertibility, the stationarity and the ergodicity of these processes. We analyze their asymptotic dependence structure by means of the autocovariance and autocorrelation functions. We also present some properties regarding their spectral representation. All properties are illustrated through graphical examples and an application of SFIEGARCH models to describe the volatility of the S&amp;amp;P500 US stock index log-return time series in the period from December 13, 2004 to October 10, 2009 is provided.&lt;/p&gt;
</style></abstract></record></records></xml>