FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
| Year of publication: |
2008
|
|---|---|
| Authors: | da Silva, Afonso Gonçalves ; Robinson, Peter M. |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 9016612. - Vol. 24.2008, 5, p. 1207-1253
|