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Showing 1 to 1 of 1 for “"Υποδείγματα GARCH"”.
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Studies on break detection in financial time series volatility
… break detection approach. The examination of GARCH models reveals that the series are highly persistent, if breaks are not accounted for, while ignoring outliers induces biases to GARCH parameters estimates. The last chapter provides empirical evidence whether long memory in daily log-range …