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Krämer, Walter - 2006

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su … observation that estimated GARCH-parameters often sum to almost one. …

Persistent link: https://www.econbiz.de/10010296750

Long memory with Markov-Switching GARCH

Krämer, Walter - 2008

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one. …

Persistent link: https://www.econbiz.de/10010264309

Modelling and forecasting long memory time series with exponential and switching GARCH models

Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425

Persistent link: https://www.econbiz.de/10012155069

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 … observation that estimated GARCH-parameters often sum to almost one. …

Persistent link: https://www.econbiz.de/10009216851

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 … observation that estimated GARCH-parameters often sum to almost one. …

Persistent link: https://www.econbiz.de/10005687732

A structural common factor approach to core inflation estimation and forecasting

Morana, Claudio - 2004

In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation measure is the scaled common persistent factor in...

Persistent link: https://www.econbiz.de/10011604351