Neglecting parameter changes in GARCH models

DOI10.1016/J.JECONOM.2004.09.005zbMath1337.62233OpenAlexW2057884190MaRDI QIDQ265108

Eric Hillebrand

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.005

zbMATH Keywords

GARCHvolatility persistencespurious estimationspurious long memoryspurious unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

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