Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
Year of publication: |
2003-01-24
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Authors: | Hillebrand, Eric |
Institutions: | EconWPA |
Subject: | GARCH | volatility persistence | regime switching | long memory | short memory | structural change |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - Tex; prepared on IBM PC; to print on HP/PostScript; pages: 27 ; figures: included. pdf-file. 27 pages |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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