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~person:"Lee, ChunShen"
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Search: subject:"IGARCH"
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IGARCH effect
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Nonstationary variance
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modified ICSS algorithm
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real GDP growth and volatility
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the Great Moderation
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Lee, ChunShen
Miller, Stephen M.
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Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models
Fang, WenShwo
;
Miller, Stephen M.
;
Lee, ChunShen
-
2007
the break in the variance equation of output for the four countries. That is, the integrated GARCH (
IGARCH
) effect proves …
Persistent link: https://www.econbiz.de/10009430121
Saved in:
2
Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models
Miller, Stephen M.
;
Fang, WenShwo
;
Lee, ChunShen
-
Department of Economics, University of Connecticut
-
2007
in the variance equation of output for the six countries. That is, the integrated GARCH (
IGARCH
) effect proves spurious …
Persistent link: https://www.econbiz.de/10005746152
Saved in:
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