Changing-regime volatility: a fractionally integrated SETAR model
| Year of publication: |
2008
|
|---|---|
| Authors: | Dufrénot, Gilles ; Guégan, Dominique ; Péguin-Feissolle, Anne |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 10779735. - Vol. 18.2008, 7, p. 519-526
|