Details

Title

On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2012

Numer

No 2

Publication authors

Keywords

GARCH models, Bayesian inference, periodically correlated stochastic processes, volatility, unconditional variance

Divisions of PAS

Nauki Humanistyczne i Społeczne

Publisher

Oddział PAN w Łodzi

Identifier

ISSN - 2080-0886, ISSN online - 2080-119X

DOI

10.24425/cejeme.2012.119278

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