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Economics Letters

Volumn 124, Issue 2, 2014, Pages 248-254

GARCH with omitted persistent covariate

(2) Han, Heejoon a Park, Joon Y b,c

a Kyung Hee University (South Korea)

b INDIANA UNIVERSITY (United States)

c Sungkyunkwan University (South Korea)

Author keywords

Fractionally integrated process; GARCH X; IGARCH; Nonlinear nonstationary time series

Indexed keywords

EID: 84904699602 PISSN: 01651765 EISSN: None Source Type: Journal
DOI: 10.1016/j.econlet.2014.05.016 Document Type: Article

Times cited : (4)

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