A component garch model with time varying weights

Studies in Nonlinear Dynamics and Econometrics

Volumn 13, Issue 2, 2009, Pages

  Bauwens, Luc ^a   Storti, Giuseppe ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITY OF SALERNO   (Italy)

Author keywords

GARCH; Persistence; Volatility components

Indexed keywords

EID: 67650896051     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1512     Document Type: Article

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