Time series properties of ARCH processes with persistent covariates (Q299219)
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scientific article; zbMATH DE number 6596368
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| English | Time series properties of ARCH processes with persistent covariates |
scientific article; zbMATH DE number 6596368 |
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Time series properties of ARCH processes with persistent covariates (English)
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22 June 2016
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ARCH
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persistent covariate
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nonstationarity
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nonlinearity
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volatility persistence
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leptokurtosis
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0.7961828708648682
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0.7961828708648682
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0.7667466998100281
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0.7620134949684143
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0.758660078048706
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