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Abstract: In this paper we give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these e ects can be theoretically explained if one assumes that the data is non-stationary. (Update)
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BibTeX entry: (Update)
@misc{ mikosch-nonstationarities,
author = "Thomas Mikosch and Catalin Starica",
title = "Non-Stationarities in Financial Time Series, the Long Range Dependence
and the IGARCH Effects",
url = "citeseer.ist.psu.edu/mikosch02nonstationarities.html" }
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