Neglecting parameter changes in GARCH models (Q265108): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62M09 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6562076 / rank | |||
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GARCH | |||
| Property / zbMATH Keywords: GARCH / rank | |||
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volatility persistence | |||
| Property / zbMATH Keywords: volatility persistence / rank | |||
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spurious estimation | |||
| Property / zbMATH Keywords: spurious estimation / rank | |||
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spurious unit root | |||
| Property / zbMATH Keywords: spurious unit root / rank | |||
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spurious long memory | |||
| Property / zbMATH Keywords: spurious long memory / rank | |||
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Revision as of 14:16, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Neglecting parameter changes in GARCH models |
scientific article |
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Neglecting parameter changes in GARCH models (English)
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1 April 2016
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GARCH
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volatility persistence
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spurious estimation
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spurious unit root
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spurious long memory
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