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The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models.

Soosung HwangPedro L. Valls Pereira
Published in: Commun. Stat. Simul. Comput. (2008)
Keyphrases
  • garch model
  • stock market
  • parameter estimation
  • denoising
  • categorical data
  • damage detection