the unconditional variance. Second, the results show that the apparent long memory property in volatility may be … interpreted as changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find …

on additive and multiplicative decompositions of the variance. They allow the variance of the model to have a smooth time … transition between regimes over time is smooth. The main focus is on the multiplicative decomposition of the variance into an … variance. …

the unconditional variance is allowed to evolve slowly over time. Statistical inference is used for specifying the … unconditional variance. Second, the results show that the long-memory property in volatility may be explained by ignored changes in … the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the …

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model … regimes over time is smooth. The main focus is on the multiplicative decomposition that decomposes the variance into an … decomposition of the variance is developed. It is heavily dependent on Lagrange multiplier type misspeci?cation tests. Finite …

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model … regimes over time is smooth. The main focus is on the multiplicative decom- position that decomposes the variance into an … decomposition of the variance is developed. It is heavily dependent on Lagrange multiplier type misspeci.cation tests. Finite …

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance … autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance. …

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance … autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance. …

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance … autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance. …

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance … autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance. …