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Original Articles

IGARCH and variance change in the US long-run interest rate

Pages 113-114 | Received 30 Nov 1994, Published online: 02 Nov 2006

References

  • Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
  • Diebold , F. 1986 . Modelling the persistence of conditional variance: a comment . Econometric Reviews , 3 : 51 – 56 .
  • Franses , P. H. , Kofman , P. and Moser , J. 1992 . “ GARCH effects on a test of cointegration ” . In Econometric Institute Report 9249 , Erasmus University Rotterdam .
  • Lamoureux , C. G. and Lastrapes , W. D. 1990 . Persistence in variance, structural change, and the GARCH model . Journal of Business and Economic Statistics , 8 : 225 – 34 .
  • Lastrapes , W. D. 1989 . Exchange rate volatility and US monetary policy: an ARCH application . Journal of Money, Credit and Banking , 21 : 66 – 77 .
  • Mascaro , A. and Meltzer , A. H. 1983 . Long- and short-term interest rates in a risky world . Journal of Monetary Economics , 12 : 485 – 518 .
  • Tsay , R.S. 1988 . Outliers, level shifts and variance changes in time series . Journal of Forecasting , 7 : 1 – 20 .

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