Non-stationarities in financial time series, the long-rangedependence and the IGARCH effects

277 Citationer (Scopus)

Abstract

Udgivelsesdato: 2004

Originalsprog	Engelsk
Tidsskrift	Review of Economics and Statistics
Vol/bind	86
Sider (fra-til)	378--390
ISSN	0034-6535
Status	Udgivet - 2004

@article{c0b34ef022c211de9f0a000ea68e967b,

title = "Non-stationarities in financial time series, the long-rangedependence and the IGARCH effects",

abstract = "Udgivelsesdato: 2004",

author = "Mikosch, {Thomas Valentin} and Catalin Starica",

year = "2004",

language = "English",

volume = "86",

pages = "378----390",

journal = "Review of Economics and Statistics",

issn = "0034-6535",

publisher = "MIT Press",

}

TY - JOUR

T1 - Non-stationarities in financial time series, the long-rangedependence and the IGARCH effects

AU - Mikosch, Thomas Valentin

AU - Starica, Catalin

PY - 2004

Y1 - 2004

N2 - Udgivelsesdato: 2004

AB - Udgivelsesdato: 2004

M3 - Journal article

SN - 0034-6535

VL - 86

SP - 378

EP - 390

JO - Review of Economics and Statistics

JF - Review of Economics and Statistics

ER -