Regime Switching in Volatility and the Test of the Long Memory Property
碩士 === 國立臺灣大學 === 經濟學研究所 === 87 === The strong persistence in the volatility of a variety of financial time series is well-known. To determine whether this persistence can be characterized as ''long memory'''' is obviously important in both financial and econometric mod...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/42805539273877605678 |