✦ LIBER ✦

Persistence in Variance, Structural Change, and the GARCH Model

✍ Scribed by Christopher G. Lamoureux and William D. Lastrapes

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Persistence in Variance, Structural Chan

✍ Lamoureux, Christopher G.; Lastrapes, William D. 📂 Article 📅 1990 🏛 American Statistical Association 🌐 English ⚖ 475 KB

Structural change and estimated persiste

✍ Walter Krämer; Baudouin Tameze Azamo 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 219 KB

Multivariate variance targeting in the B

✍ Pedersen, Rasmus S.; Rahbek, Anders 📂 Article 📅 2014 🏛 John Wiley and Sons 🌐 English ⚖ 576 KB

Persistence and Kurtosis in GARCH and St

✍ Carnero, M. A. 📂 Article 📅 2004 🏛 Oxford University Press 🌐 English ⚖ 590 KB

On the origin of high persistence in GAR

✍ Walter Krämer; Baudouin Tameze; Konstantinos Christou 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 241 KB

Estimation of GARCH process in the prese

✍ Jean-Guy Simonato 📂 Article 📅 1992 🏛 Elsevier Science 🌐 English ⚖ 277 KB