Pages that link to "Item:Q429135"
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The following pages link to On the origin of high persistence in GARCH-models (Q429135):
Displaying 9 items.
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Level changes in volatility models (Q470520) (← links)
- A modified GARCH model with spells of shocks (Q853870) (← links)
- Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model (Q1934140) (← links)
- Spurious persistence in stochastic volatility (Q2451401) (← links)
- Stochastic change-point ARX-GARCH models and their applications to econometric time series (Q2864544) (← links)
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models (Q3625281) (← links)
- Non‐linear GARCH models for highly persistent volatility (Q5703229) (← links)