Neglecting parameter changes in GARCH models (Q265108)

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Neglecting parameter changes in GARCH models
scientific article

    Statements

    title
    Neglecting parameter changes in GARCH models (English)
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    author
    Eric Hillebrand
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    publication date
    1 April 2016
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    62M09
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    62M10
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    62P05
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    zbMATH DE Number
    6562076
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