Mikosch, Thomas; C; abreve; t; abreve; St, lin; abreve; ric - In: The Review of Economics and Statistics 86 (2004) 1, pp. 378-390
We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary. ©...