On the origin of high persistence in GARCH-models (Q429135)
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scientific article; zbMATH DE number 6049839
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| English | On the origin of high persistence in GARCH-models |
scientific article; zbMATH DE number 6049839 |
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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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0.8545347452163696
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0.8274365663528442
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0.8264071941375732
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0.812238335609436
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0.8046023845672607
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