Time series properties of ARCH processes with persistent covariates

Time series properties of ARCH processes with persistent covariates

10.1016/j.jeconom.2008.08.016

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Bibliographic Details
Main Authors: Han, H., Park, J.Y.
Other Authors: ECONOMICS
Format: Article
Published: 2011
Subjects:
ARCH
Leptokurtosis
Nonlinearity
Nonstationarity
Persistent covariate
Volatility persistence
Online Access:http://scholarbank.nus.edu.sg/handle/10635/22408
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/22408

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