Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes
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References listed on IDEAS
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More about this item
KeywordsGARCH; FIGARCH; Conditional heteroscedasticity; Stationarity; Persistence; Forecasting;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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