Pages that link to "Item:Q3625281"
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The following pages link to The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models (Q3625281):
Displaying 8 items.
- On the origin of high persistence in GARCH-models (Q429135) (← links)
- Volatility persistence and switching ARCH in Japanese stock returns (Q1000420) (← links)
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model (Q1934140) (← links)
- Forecasting volatility with time-varying coefficient regressions (Q2187983) (← links)
- Spurious persistence in stochastic volatility (Q2451401) (← links)
- Asymmetric Volatility Models with Structural Breaks (Q3168366) (← links)
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications (Q5082783) (← links)
- Si-GARCH: Construction and validation of a new method for the detection of breaking points in models (Q5358382) (← links)
