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Sliced inverse regression for high-dimensional time series
Becker, Claudia; Fried, Roland - Institut für Wirtschafts- und Sozialstatistik, … - 2001
most of the variability of the variable considered. This can also provide information on possible nonlinearities. We apply …
Persistent link: https://www.econbiz.de/10010955462
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Long memory with Markov-Switching GARCH
Krämer, Walter - Institut für Wirtschafts- und Sozialstatistik, … - 2006
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often sum...
Persistent link: https://www.econbiz.de/10009216851
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Long memory with Markov-Switching GARCH
Krämer, Prof. Dr. Walter - Institut für Wirtschafts- und Sozialstatistik, …
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su±cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...
Persistent link: https://www.econbiz.de/10005687732