Modelling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach
Richard T. Baillie; Claudio Morana
| Year of publication: |
2009
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|---|---|
| Authors: | Baillie, Richard ; Morana, Claudio |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 33.2009, 8, p. 1577-1592
|
| Subject: | ARCH-Modell | ARCH model | Simulation | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break |
| 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/10003861075