Decomposition of conditional variance persistence through frequency-domain Markov chains
Year of publication: |
2005
|
---|---|
Authors: | Mainardi, Stefano |
Published in: |
Tydskrif vir studies in ekonomie en ekonometrie : SEE. - Stellenbosch, ISSN 0379-6205, ZDB-ID 863779-9. - Vol. 29.2005, 3, p. 111-135
|
Subject: | Markov-Kette | Markov chain | Information | ARCH-Modell | ARCH model | Preis | Price | Kakao | Cocoa | Kaffee | Coffee | 1989-2004 |
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