Volatility Components and Long Memory-Effects Revisited

DOI10.2202/1558-3708.1411zbMath1416.62585OpenAlexW2000290698MaRDI QIDQ5452773

Markus Haas

Publication date: 4 April 2008

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

Full work available at URL: https://doi.org/10.2202/1558-3708.1411

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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