Neglecting parameter changes in GARCH models (Q265108): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2004.09.005
@@ Property / DOI: 10.1016/j.jeconom.2004.09.005 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M09
@@ Property / Mathematics Subject Classification ID: 62M09 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / zbMATH DE Number @@
+6562076
@@ Property / zbMATH DE Number: 6562076 / rank @@
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@@ Property / zbMATH Keywords @@
+GARCH
@@ Property / zbMATH Keywords: GARCH / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volatility persistence
@@ Property / zbMATH Keywords: volatility persistence / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+spurious estimation
@@ Property / zbMATH Keywords: spurious estimation / rank @@
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@@ Property / zbMATH Keywords @@
+spurious unit root
@@ Property / zbMATH Keywords: spurious unit root / rank @@
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@@ Property / zbMATH Keywords @@
+spurious long memory
@@ Property / zbMATH Keywords: spurious long memory / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2004.09.005
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@@ Property / OpenAlex ID @@
+W2057884190
@@ Property / OpenAlex ID: W2057884190 / rank @@
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@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Common Persistence in Conditional Variances
@@ Property / cites work: Common Persistence in Conditional Variances / rank @@
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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
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+Long memory and regime switching
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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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+What good is a volatility model?
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+Conditional Heteroskedasticity Driven by Hidden Markov Chains
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+Long memory relationships and the aggregation of dynamic models
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+A simple nonlinear time series model with misleading linear properties
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Testing for parameter changes in ARCH models
@@ Property / cites work: Testing for parameter changes in ARCH models / rank @@
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@@ Property / cites work @@
+Change-point estimation in ARCH models
@@ Property / cites work: Change-point estimation in ARCH models / rank @@
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@@ Property / cites work @@
+Stochastic volatility as a simple generator of apparent financial power laws and long memory
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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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@@ Property / cites work @@
+Q2778805
@@ Property / cites work: Q2778805 / rank @@
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@@ Property / DOI @@
+.1016/J.JECONOM.2004.09.005
@@ Property / DOI: 10.1016/J.JECONOM.2004.09.005 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:265108