GARCH with omitted persistent covariate
Heejoon Han; Joon Y. Park
| Year of publication: |
2014
|
|---|---|
| Authors: | Han, Heejoon ; Park, Joon Y. |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 124.2014, 2, p. 248-254
|
| Subject: | IGARCH | GARCH-X | Nonlinear nonstationary time series | Fractionally integrated process | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Nichtlineare Regression | Nonlinear regression | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Schätzung | Estimation | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Korrelation | Correlation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010493650