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  • The issue that nonlinear models can be mistaken to be fractionally integrated has been studied in the literature. In this paper, we provide a Monte Carlo simulation which is aimed to show that SETAR models can exhibit spurious long-memory behaviour for c
  • The issue that nonlinear models can be mistaken to be fractionally integrated has been studied in the literature. In this paper, we provide a Monte Carlo simulation which is aimed to show that SETAR models can exhibit spurious long-memory behaviour for c (en)
  • The issue that nonlinear models can be mistaken to be fractionally integrated has been studied in the literature. In this paper, we provide a Monte Carlo simulation which is aimed to show that SETAR models can exhibit spurious long-memory behaviour for c (cs)
Title
  • Long memory or parametr inconstancy in GARCH models? An empirical illustration
  • Long memory or parametr inconstancy in GARCH models? An empirical illustration (en)
  • Misleading Long-Memory Features of SETAR Models (cs)
skos:prefLabel
  • Long memory or parametr inconstancy in GARCH models? An empirical illustration
  • Long memory or parametr inconstancy in GARCH models? An empirical illustration (en)
  • Misleading Long-Memory Features of SETAR Models (cs)
skos:notation
  • RIV/49777513:23510/05:00000019!RIV06-GA0-23510___
http://linked.open.../vavai/riv/strany
  • 69-74
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/05/2394)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
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http://linked.open...dnocenehoVysledku
  • 528380
http://linked.open...ai/riv/idVysledku
  • RIV/49777513:23510/05:00000019
http://linked.open...riv/jazykVysledku
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  • nonlinear models, SETAR models, fractional integration, long memory (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [1F26E17690F2]
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  • Toruń
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  • Toruń
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  • Dynamiczne modele ekonometryczne
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http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Kuchynka, Alexandr
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Uniwersytet Mikołaja Kopernika
https://schema.org/isbn
  • 83-231-1864-7
http://localhost/t...ganizacniJednotka
  • 23510
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