Inequality constraints in the fractionally integrated GARCH model

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Author
Conrad, Christian
Haag, Berthold
Date
2006
Type
  • Journal Article
Publication status
published
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Journal / series
Journal of financial econometrics
Volume
4(3)
Pages / Article No.
413 - 449
Publisher
Oxford University Press
Subject
inequality constraints; long-memory and fractionally integrated GARCH processes
Organisational unit
03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert  
Notes
Received 15 June 2005, Revised 11 April 2006, Accepted 25 April 2006.
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