Generalized fractional processes with long memory and time dependent volatility revisited
Year of publication: |
2016
|
---|---|
Authors: | Peiris, M. Shelton ; Asai, Manabu |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 4.2016, 3, p. 1-21
|
Publisher: |
Basel : MDPI |
Subject: | GARMA | GARCH | stochastic volatility | long-memory | fractional differencing |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics4030037 [DOI] 874010721 [GVK] hdl:10419/171887 [Handle] |
Classification: | c18 ; C40 - Econometric and Statistical Methods: Special Topics. General ; c58 |
Source: |
-
Generalized fractional processes with long memory and time dependent volatility revisited
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