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~person:"Park, Joon Y."
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Park, Joon Y.
Miller, Stephen M.
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GARCH with omitted persistent covariate
Han, Heejoon
;
Park, Joon Y.
- In:
Economics letters
124
(
2014
)
2
,
pp. 248-254
Persistent link: https://www.econbiz.de/10010493650
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2
GARCH with omitted persistent covariate
Han, Heejoon
;
Park, Joon Y.
- In:
Economics Letters
124
(
2014
)
2
,
pp. 248-254
approximately as an
IGARCH
model. This may well explain the ubiquitous evidence of the
IGARCH
in empirical volatility analysis. …
Persistent link: https://www.econbiz.de/10010933284
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