Inequality constraints in the fractionally integrated GARCH model

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Author
Conrad, Christian
Haag, Berthold
Date
2006-07-01
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  
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute  
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