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Long memory and asymmetry in conditional variance models

Posted on:1999-02-26Degree:Ph.DType:Dissertation
University:Michigan State UniversityCandidate:Hwang, YeongilFull Text:PDF
GTID:1469390014970993Subject:Economics
Abstract/Summary:
The dissertation introduces a new family of models for the conditional variance of economic time series. The new models allow for both asymmetries and long memory, whereas previous models had allowed for one or the other but not both. These models are applied to two different kinds of data, on stock returns and exchange rates. In each case, there is strong evidence of both asymmetry and long memory, and correspondingly the new models fit the data better than other simpler models.
Keywords/Search Tags:Models, Long memory, Conditional variance, Economics
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