Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour
نویسندگان
چکیده
منابع مشابه
Mean-reversion Jump-diffusion
From the spot prices we have to identify the following six parameters: α , μ, σ, Km , γ, Φ. If necessary, a seventh parameter, λ, should be identified from the futures prices. The six parameters mentioned above can be identified using the maximum likelihood method (Ball and Torous, 1983; Lien and Strom, 1999; Clewlow and Strickland, 2000) or the moments method (Lien and Strom, 1999; Deng, 1999)...
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ژورنال
عنوان ژورنال: African Development Review
سال: 2014
ISSN: 1017-6772
DOI: 10.1111/1467-8268.12064