Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Year of publication: |
September 2016
|
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Authors: | Davidson, James E. H. ; Li, Xiaoyu |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part B, p. 534-547
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Subject: | GARCH | FIGARCH | Conditional heteroscedasticity | Stationarity | Persistence | Forecasting | Theorie | Theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
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