The impulse response function of the long memory GARCH process

Economics Letters

Volumn 90, Issue 1, 2006, Pages 34-41

  Conrad, Christian ^a   Karanasos, Menelaos ^b  

^a UNIVERSITY OF MANNHEIM   (Germany)

^b BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Cumulative impulse response function; Long memory GARCH process

Indexed keywords

EID: 30344471117     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2005.07.001     Document Type: Article

References (13)

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