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
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spelling sg-nus-scholar.10635-224082023-10-25T21:57:47Z Time series properties of ARCH processes with persistent covariates Han, H. Park, J.Y. ECONOMICS ARCH Leptokurtosis Nonlinearity Nonstationarity Persistent covariate Volatility persistence 10.1016/j.jeconom.2008.08.016 Journal of Econometrics 146 2 275-292 JECMB 2011-05-03T08:09:40Z 2011-05-03T08:09:40Z 2008 Article Han, H., Park, J.Y. (2008). Time series properties of ARCH processes with persistent covariates. Journal of Econometrics 146 (2) : 275-292. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jeconom.2008.08.016 03044076 http://scholarbank.nus.edu.sg/handle/10635/22408 000260988100008 Scopus
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
topic ARCH
Leptokurtosis
Nonlinearity
Nonstationarity
Persistent covariate
Volatility persistence
spellingShingle ARCH
Leptokurtosis
Nonlinearity
Nonstationarity
Persistent covariate
Volatility persistence
Han, H.
Park, J.Y.
Time series properties of ARCH processes with persistent covariates
description 10.1016/j.jeconom.2008.08.016
author2 ECONOMICS
author_facet ECONOMICS
Han, H.
Park, J.Y.
format Article
author Han, H.
Park, J.Y.
author_sort Han, H.
title Time series properties of ARCH processes with persistent covariates
title_short Time series properties of ARCH processes with persistent covariates
title_full Time series properties of ARCH processes with persistent covariates
title_fullStr Time series properties of ARCH processes with persistent covariates
title_full_unstemmed Time series properties of ARCH processes with persistent covariates
title_sort time series properties of arch processes with persistent covariates
publishDate 2011
url http://scholarbank.nus.edu.sg/handle/10635/22408
_version_ 1781410215709638656

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