Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Krämer, Walter | - |
dc.date.accessioned | 2006-11-10T07:43:50Z | - |
dc.date.available | 2006-11-10T07:43:50Z | - |
dc.date.issued | 2006-11-10T07:43:50Z | - |
dc.identifier.other | JEL-numbers: C13, C22 | - |
dc.identifier.uri | http://hdl.handle.net/2003/23070 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15398 | - |
dc.description.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. | en |
dc.format.extent | 111903 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.subject | GARCH(1,1)-model | en |
dc.subject | Long memory | en |
dc.subject | Markov-switching | en |
dc.subject | Time-varying transition probability | en |
dc.subject.ddc | 004 | - |
dc.title | Long memory with Markov-Switching GARCH | en |
dc.type | Text | de |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr35-06.pdf | DNB | 109.28 kB | Adobe PDF | View/Open |
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