The impulse response function of the long memory GARCH process

C-Tier

Journal: Economics Letters

Year: 2006

Volume: 90

Issue: 1

Pages: 34-41

Authors (2)

Conrad, Christian (not in RePEc) Karanasos, Menelaos

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count