The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
- Author
- HWANG, Soosung1 ; VALLS PEREIRA, Pedro L2
[1] Faculty of Finance, Cass Business School, London, United Kingdom
[2] IBMEC Sao Paulo, Sao Paulo, Brazil - Source
Communications in statistics. Simulation and computation. 2008, Vol 37, Num 3-5, pp 571-578, 8 p ; ref : 1/4 p
- CODEN
- CSSCDB
- ISSN
- 0361-0918
- Scientific domain
- Mathematics
- Publisher
- Taylor & Francis, Colchester
- Publication country
- United Kingdom
- Document type
- Article
- Language
- English
- Author keyword
- 62P20 GARCH Persistence Structural breaks Volatility. 91B84
- Keyword (fr)
- Application Grand échantillon Loi conditionnelle Méthode statistique Simulation numérique Modèle GARCH
- Keyword (en)
- Application Large sample Conditional distribution Statistical method Numerical simulation GARCH model
- Keyword (es)
- Aplicación Ley condicional Método estadístico Simulación numérica
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01Q Numerical methods in probability and statistics
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20805968
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1080/03610910701812378 
https://dx.doi.org/10.1080/03610910701812378
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