Title

On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2012

Issue

No 2

Authors

Mazur, Błażej ; Pipień, Mateusz

Keywords

GARCH Models ; Bayesian inference ; periodically correlated stochastic processes ; volatility ; unconditional variance

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

95-116

Publisher

Oddział PAN w Łodzi

Date

30.06.2012

Type

Artykuły / Articles

Identifier

DOI: 10.24425/cejeme.2012.119278 ; ISSN - 2080-0886, ISSN online - 2080-119X

Source

Central European Journal of Economic Modelling and Econometrics; 2012; No 2; 95-116