Study of existence of co-persistence in volatility

MaRDI QIDQ3501488zbMATH OpenFDO

Authors Ziping Du, Wei Zhang

Publication date 3 June 2008

zbMATH Keywords

multivariate GARCHco-persistence in volatility

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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(2)

• Study of persistence and copersistence for conditional moments of time series
• Research on the relationship of co-persistence based on high-frequency financial time series

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