Authors: Krämer, Walter
Title: Long memory with Markov-Switching GARCH
Language (ISO): en
Abstract: The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often sum to almost one.
Subject Headings: GARCH(1,1)-model
Long memory
Markov-switching
Time-varying transition probability
URI: http://hdl.handle.net/2003/23070
http://dx.doi.org/10.17877/DE290R-15398
Issue Date: 2006-11-10T07:43:50Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

Files in This Item:
File Description SizeFormat 
tr35-06.pdfDNB109.28 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.