Long memory with Markov-Switching GARCH

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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.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.identifier.otherJEL-numbers: C13, C22
dc.identifier.urihttp://hdl.handle.net/2003/23070
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15398
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

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