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Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects


  • Thomas Mikosch

    (University of Copenhagen)

  • Cătălin Stărică

    (Chalmers University of Technology)


We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

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  • 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, February.
  • Handle: RePEc:tpr:restat:v:86:y:2004:i:1:p:378-390

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    References listed on IDEAS

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