On the origin of high persistence in GARCH-models (Q429135): Difference between revisions
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| Property / author: Walter Kramer / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / zbMATH DE Number: 6049839 / rank | |||
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minimum distance estimates | |||
| Property / zbMATH Keywords: minimum distance estimates / rank | |||
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structural change | |||
| Property / zbMATH Keywords: structural change / rank | |||
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long memory | |||
| Property / zbMATH Keywords: long memory / rank | |||
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GARCH | |||
| Property / zbMATH Keywords: GARCH / rank | |||
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Revision as of 23:28, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the origin of high persistence in GARCH-models |
scientific article |
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On the origin of high persistence in GARCH-models (English)
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26 June 2012
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minimum distance estimates
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structural change
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long memory
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GARCH
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