Discussions on the spurious hyperbolic memory in the conditional variance and a new model
Kin-Yip Ho; Yanlin Shi
| Year of publication: |
2020
|
|---|---|
| Authors: | Ho, Kin-Yip ; Shi, Yanlin |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 55.2020, p. 83-103
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| Subject: | Volatility modelling | Hyperbolic memory | Regime switching | Hyperbolic GARCH | MRS-HGARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2019.11.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012175262