Flexible Fourier form for volatility breaks

DOI10.1515/snde-2016-0039OpenAlexW2758669528MaRDI QIDQ2691729

Yanyan Li

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0039

zbMATH Keywords

ARCHGARCHflexible Fourier formspurious almost-integration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• bootstrap

Cites Work

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• Long memory and regime switching

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