Article ID Journal Published Year Pages File Type
5060763 Economics Letters 2012 4 Pages PDF
Abstract
► New link between structural change and persistence established. ► Changes in the mean of a GARCH process can make persistence arbitrarily large. ► Problem becomes more severe as the sample size increases.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
On the origin of high persistence in GARCH-models
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