Similar Search Results - EconBiz

Structural Change and long memory in the GARCH(1,1)-model

Azamo, Baudouin Tameze; Krämer, Walter - 2006

It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...

Persistent link: https://www.econbiz.de/10010296748

Structural Change and long memory in the GARCH(1,1)-model

Azamo, Baudouin Tameze; Krämer, Walter - Institut für Wirtschafts- und Sozialstatistik, … - 2006

It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...

Persistent link: https://www.econbiz.de/10009219879

Structural change and long memory in the GARCH (1,1)-model

Krämer, Walter (contributor); … - 2006

It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...

Persistent link: https://www.econbiz.de/10003385658

Structural change and estimated persistence in the GARCH(1,1)-model

Krämer, Walter; Azamo, Baudouin Tameze - In: Economics letters 97 (2007) 1, pp. 17-23

Persistent link: https://www.econbiz.de/10003575201

On the origins of high persistence in GARCH-models

Krämer, Walter; Tameze Azamo, Baudouin; Christou, … - 2009

Persistent link: https://www.econbiz.de/10008839631

Structural change and estimated persistence in the GARCH(1,1)-model

Krämer, Prof. Dr. Walter; Azamo, Baudouin Tameze - Institut für Wirtschafts- und Sozialstatistik, …

It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...

Persistent link: https://www.econbiz.de/10005687733

Structural change and estimated persistence in the GARCH(1,1)-model

Kramer, Walter; Azamo, Baudouin Tameze - In: Economics Letters 97 (2007) 1, pp. 17-23

Persistent link: https://www.econbiz.de/10005275961

Hauser, Michael; Trenkler, Götz; Maronna, Ricardo; … - In: Statistical Papers 42 (2001) 1, pp. 134-138

Persistent link: https://www.econbiz.de/10005167202

So überzeugt man mit Statistik

Krämer, Walter - 1994

Persistent link: https://www.econbiz.de/10004197907

So lügt man mit Statistik

Krämer, Walter - 1997 - 7., überarb. und abermals erw. Aufl.

Persistent link: https://www.econbiz.de/10004316531

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