Time series properties of ARCH processes with persistent covariates

• 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
• Institution: National University of Singapore

10.1016/j.jeconom.2008.08.016