On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process - Central European Journal of Economic Modelling and Econometrics - Issue 2 (2012) - CEJSH - Yadda

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Article details

Journal

Central European Journal of Economic Modelling and Econometrics

2012 | 2 |

Article title

On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process

Authors

Mazur, Błażej , Pipień, Mateusz

Content

Full texts:

oai-journals-pan-pl-103772/full-text/mainFile.pdf

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Title variants

Languages of publication

PL

Abstracts

Keywords

PL

Nauki Humanistyczne i Społeczne GARCH Models Bayesian inference periodically correlated stochastic processes volatility unconditional variance

Publisher

Polska Akademia Nauk

Journal

Central European Journal of Economic Modelling and Econometrics

Year

2012

Issue

2

Physical description

Contributors

author

Mazur, Błażej

author

Pipień, Mateusz

References

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.oai-journals-pan-pl-103772

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