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

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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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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Francis Dieobold, 1986. "Modeling The persistence Of Conditional Variances: A Comment," Econometric Reviews, Taylor and Francis Journals, vol. 5(1), pages 51-56. [Downloadable!] (restricted)
  2. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 211-250. [Downloadable!] (restricted)
  3. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-34, April.
  4. Dueker, Michael J, 1997. "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 26-34, January.
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  5. Klaassen, F., 1998. "Improving garch volatility forecasts," Discussion Paper 52, Tilburg University, Center for Economic Research. [Downloadable!]
  6. Cao, C Q & Tsay, R S, 1992. "Nonlinear Time-Series Analysis of Stock Volatilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S165-85, Suppl. De. [Downloadable!] (restricted)
  7. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
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  8. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333. [Downloadable!] (restricted)
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  9. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July. [Downloadable!] (restricted)
  10. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)
  11. Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 493-530. [Downloadable!] (restricted)
  12. Franc Klaassen, 2002. "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, vol. 27(2), pages 363-394. [Downloadable!] (restricted)
  13. Thomas Mikosch & Cătălin Stărică, 2004. "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 378-390, 01. [Downloadable!] (restricted)
  14. Francq, C. & Roussignol, M. & Zakoian, J.-M., 1998. "Conditional Heteroskedasticity Driven by Hidden Markov Chains," Papers 9845, Institut National de la Statistique et des Etudes Economiques-.
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  15. Jaesun Noh & Robert F. Engle & Alex Kane, 1994. "Forecasting Volatility and Option Prices of the S&P 500 Index," University of California at San Diego, Economics Working Paper Series 93-32r, Department of Economics, UC San Diego. [Downloadable!]
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Cited by:
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  1. Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  2. Prof. Dr. Walter Krämer, . "Long memory with Markov-Switching GARCH," Working Papers 6, Business and Social Statistics Department, University Dortmund, revised Oct 2006. [Downloadable!]
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