Common persistence in conditional variance : a reconsideration
Chang-Shuai Li
| Year of publication: |
2012
|
|---|---|
| Authors: | Li, Chang-shuai |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 5, p. 1809-1819
|
| Subject: | Persistence in variance | Co-persistence in variance | Long memory Integrated-GARCH (I-GARCH) | Vector GARCH (VGARCH) | Decay coefficient | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009667096