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| Author: | Burgess, S. Escribano, A. Pfann, G. |
| Title: | Editors' introduction: asymmetries and nonlinearities in dynamic economic models |
| Journal: | Journal of Econometrics
1996 : SEP, VOL. 74:1, p. 1-2 |
| Index terms: | ECONOMETRICS ECONOMICS MODELS |
| Language: | eng |
| Abstract: | This Annals issue of the Journal of Econometrics contains seven contributions to the field of assymetries and nonlinearities in economic dynamics. Richard Baillie, Tim Bollerslev, and Hans Ole Mikkelsen inspect the empirical evidence that measures of volatility taken from high-frequency data exhibit long-memory properties and propose to extend the class of ARCH models to processes with fractional integration of conditional variances. The FIGARCH process implies a slow hyperbolic rate of decay for the influece of lagged squared innovations. |
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