The impulse response function of the long memory GARCH process
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 90 (2006)
Issue (Month): 1 (January)
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0543, University of Heidelberg, Department of Economics.
- Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79850, Verein für Socialpolitik / German Economic Association.
- Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," University of Regensburg Working Papers in Business, Economics and Management Information Systems 473, University of Regensburg, Department of Economics.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus.
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07-162, KOF Swiss Economic Institute, ETH Zurich.
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- Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008.
"Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study,"
0472, University of Heidelberg, Department of Economics, revised Jul 2008.
- Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
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