Long memory with Markov-Switching GARCH
Year of publication: |
2006
|
---|---|
Authors: | Krämer, Walter |
Institutions: | Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund |
Subject: | Markov switching | GARCH | long memory |
-
Long memory with Markov-Switching GARCH
Krämer, Walter, (2006)
-
Long memory with Markov-Switching GARCH
Krämer, Walter, (2008)
-
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models
S»bastien Laurent, (2001)
- More ...
-
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
Sibbertsen, Philipp, (2004)
-
OLS-based estimation of the disturbance variance under spatial autocorrelation
Krämer, Walter, (2006)
-
More on the F-test under nonspherical disturbances
Krämer, Walter, (2008)
- More ...