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On the origin of high persistence in GARCH-models |
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| Authors: | Walter Krämer Baudouin TamezeKonstantinos Christou |
| Institution: | |
| Abstract: | We show that the (Baillie and Chung, 2001) minimum distance estimates of the GARCH (1,1) model induce spurious persistence in the volatility when there are structural changes in the mean of the process. |
| Keywords: | C13 C22 |
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