Interaction models for common long-range dependence in asset price volatilities
Year of publication: |
2003-02
|
---|---|
Authors: | TEYSSIERE, Gilles |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | long-memory | field effects | interaction models | changepoints | wavelets |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2003026 |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models ; D40 - Market Structure and Pricing. General |
Source: |
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