Common persistence in conditional variance : a reconsideration
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 | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance |
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