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Structural change and estimated persistence in the GARCH(1,1)-model

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Author Info
Kramer, Walter
Azamo, Baudouin Tameze

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File URL: http://www.sciencedirect.com/science/article/B6V84-4P18B35-F/2/2fd72f6e29b8a6acf9187822309d3dbf
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 97 (2007)
Issue (Month): 1 (October)
Pages: 17-23
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Handle: RePEc:eee:ecolet:v:97:y:2007:i:1:p:17-23

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  1. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics. [Downloadable!]
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  2. Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  3. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis," Working papers 2008-48, University of Connecticut, Department of Economics. [Downloadable!]
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  4. WenShwo Fang & Stephen M. Miller, 2008. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers 2008-47, University of Connecticut, Department of Economics. [Downloadable!]
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This page was last updated on 2009-11-7.

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