Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects

被引：289

作者：

Mikosch, T ^{[1
]}

Starica, C

机构：

[1] Univ Copenhagen, DK-1168 Copenhagen, Denmark

[2] Chalmers Univ Technol, S-41296 Gothenburg, Sweden

来源：

REVIEW OF ECONOMICS AND STATISTICS | 2004年 / 86卷 / 01期

关键词：

D O I：

10.1162/003465304323023886

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary.

引用

页码：378 / 390

页数：13

共 27 条

[21]

Lobato IN, 1998, J BUS ECON STAT, V16, P261, DOI 10.2307/1392497

[22] Whittle estimation in a heavy-tailed GARCH(1,1) model [J].