1. Eldorado
  2. Sonderforschungsbereiche
  3. Sonderforschungsbereich (SFB) 475
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKrämer, Walter-
dc.date.accessioned2006-11-10T07:43:50Z-
dc.date.available2006-11-10T07:43:50Z-
dc.date.issued2006-11-10T07:43:50Z-
dc.identifier.otherJEL-numbers: C13, C22-
dc.identifier.urihttp://hdl.handle.net/2003/23070-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15398-
dc.description.abstractThe 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.en
dc.format.extent111903 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.subjectGARCH(1,1)-modelen
dc.subjectLong memoryen
dc.subjectMarkov-switchingen
dc.subjectTime-varying transition probabilityen
dc.subject.ddc004-
dc.titleLong memory with Markov-Switching GARCHen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access-
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

View License
Show simple item record


This item is protected by original copyright rightsstatements.org