On dynamics of volatilities in nonstationary GARCH models
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DOI: 10.1016/j.spl.2014.07.003
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- Li, Dong & Zhang, Xingfa & Zhu, Ke & Ling, Shiqing, 2018. "The ZD-GARCH model: A new way to study heteroscedasticity," Journal of Econometrics, Elsevier, vol. 202(1), pages 1-17.
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Keywords
Convergence in distribution; GARCH; Nonstationarity; Renormalization; Volatility;All these keywords.
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