On the origin of high persistence in GARCH-models (Q429135): Difference between revisions

@@ Property / author @@
-Walter Kramer
@@ Property / author: Walter Kramer / rank @@
-Normal rank
@@ Property / author @@
+Walter Kramer
@@ Property / author: Walter Kramer / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6049839
@@ Property / zbMATH DE Number: 6049839 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+minimum distance estimates
@@ Property / zbMATH Keywords: minimum distance estimates / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+structural change
@@ Property / zbMATH Keywords: structural change / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+long memory
@@ Property / zbMATH Keywords: long memory / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+GARCH
@@ Property / zbMATH Keywords: GARCH / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.econlet.2011.09.012
+Normal rank
@@ Property / OpenAlex ID @@
+W2028978642
@@ Property / OpenAlex ID: W2028978642 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
+Normal rank
@@ Property / cites work @@
+Long memory and regime switching
@@ Property / cites work: Long memory and regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Sample autocorrelations of nonstationary fractionally integrated series
+Normal rank
@@ Property / cites work @@
+Neglecting parameter changes in GARCH models
@@ Property / cites work: Neglecting parameter changes in GARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory with Markov-switching GARCH
@@ Property / cites work: Long memory with Markov-switching GARCH / rank @@
+Normal rank
@@ Property / cites work @@
+Structural change and estimated persistence in the \(GARCH(1,1)\)-model
+Normal rank
@@ Property / cites work @@
+Random coefficient autoregression, regime switching and long memory
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:429135