Common Persistence in Conditional Variances
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Publication:5289304
DOI10.2307/2951782zbMath0782.62102OpenAlexW2125791736MaRDI QIDQ5289304
Robert F. Engle, Tim Bollerslev
Publication date: 22 August 1993
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10161/1876
time seriesexchange rate dynamicsoptimal portfolio allocationgeneralized autoregressive conditional heteroskedasticitypersistence in varianceasset pricing relationshipsco-persistence in variancefactor GARCHIGARCH modelsintegrated generalized ARCHlinear co-integrationmultivariate linear GARCH model
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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