Spurious persistence in stochastic volatility
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Publication:2451401
DOI10.1016/j.econlet.2013.08.008zbMath1288.91156OpenAlexW2080007809MaRDI QIDQ2451401
Publication date: 3 June 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2013.08.008
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic models in economics (91B70)
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Cites Work
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- Neglecting parameter changes in GARCH models
- On the origin of high persistence in GARCH-models
- Deciding between GARCH and stochastic volatility via strong decision rules
- Sample autocorrelations of nonstationary fractionally integrated series
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- Multivariate Stochastic Variance Models
- On regression-based tests for persistence in logarithmic volatility models
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