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Details for article 11 of 14 found articles
| Title: |
IGARCH models and structural breaks |
| Author: |
Caporale, Guglielmo Maria Pittis, Nikitas Spagnolo, Nicola |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 10 (2003) nr. 12 pages 765-768 |
| Year: |
2003-10 |
| Contents: |
Using Monte Carlo simulations, it is shown that fitting a mis-specified GARCH model to a true MS-GARCH process tends to produce IGARCH parameter estimates. In other words, the presence of structural breaks can result in spuriously high estimates of the degree of persistence of shocks to the conditional variance. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 11 of 14 found articles
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