학술논문
Geometric ergodicity and regular variation of stochastic unit root processes
이용수 2
- 영문명
- Geometric ergodicity and regular variation of stochastic unit root processes
- 발행기관
- 한국계량경제학회
- 저자명
- Gawon Yoon
- 간행물 정보
- 『한국계량경제학회 학술대회 논문집』2007년 하계학술대회, 1~17쪽, 전체 17쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2007.08.30
4,840원
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국문 초록
영문 초록
This paper shows that stochastic unit root [STUR] processes, which are closely related to
standard (fixed) unit root models and could be easily confused with them by standard unit root
tests, are geometrically ergodic and regularly varying. On the contrary to the widely held belief,
therefore, STUR processes are not long-memory, but short-memory. The phenomena of
volatility-induced stationarity and long-memory are also discussed under STUR.
목차
1. Introduction
2. Geometric ergodicity and regular variation of STUR
3. Volatility-induced long-memory: an implication
4. Conclusion
키워드
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