4.4 Article

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

Journal

REVIEW OF ECONOMICS AND STATISTICS
Volume 86, Issue 1, Pages 378-390

Publisher

MIT PRESS
DOI: 10.1162/003465304323023886

Keywords

-

Ask authors/readers for more resources

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.

Authors

I am an author on this paper
Click your name to claim this paper and add it to your profile.

Reviews

Primary Rating

4.4
Not enough ratings

Secondary Ratings

Novelty
-
Significance
-
Scientific rigor
-
Rate this paper

Recommended

No Data Available
No Data Available