Modelling and forecasting long memory time series with exponential and switching GARCH models
Esmail Amiri
| Year of publication: |
2019
|
|---|---|
| Authors: | Amiri, Esmail |
| Published in: |
International journal of monetary economics and finance. - Genève [u.a.] : Inderscience Enterprises, ISSN 1752-0479, ZDB-ID 2476010-9. - Vol. 12.2019, 5, p. 407-425
|
| Subject: | long memory | Markov switching | GARCH | FIEGARCH | MS-GARCH | structural breaks | ARCH effect | volatility | value at risk | persistence | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Schätzung | Estimation | Schätztheorie | Estimation theory | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJMEF.2019.102956 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012155069