The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models (Q3625281): Difference between revisions

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+https://doi.org/10.1080/03610910701812378
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+W3122368781
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Detecting parameter shift in garch models
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+Long memory and regime switching
@@ Property / cites work: Long memory and regime switching / rank @@
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Modelling the persistence of conditional variances
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+Publication:3625281