On the Transmission of Memory in Garch‐in‐Mean Models (Q3192402)

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On the Transmission of Memory in Garch‐in‐Mean Models
scientific article

    Statements

    title
    On the Transmission of Memory in Garch‐in‐Mean Models (English)
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    author
    Christian Conrad
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    Menelaos Karanasos
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    publication date
    12 October 2015
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    zbMATH Keywords
    conditional heteroscedasticity
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    GARCH-in-mean
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    persistence
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    unit root tests
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    Identifiers

    DOI
    10.1111/jtsa.12119
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    Mathematics Subject Classification ID
    62M10
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    62P05
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    91B84
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    zbMATH DE Number
    6493219
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    OpenAlex ID
    W1605024322
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