Modeling high frequency data with long memory and structural change : A-HYEGARCH model
Year of publication: |
June 2018
|
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Authors: | Shi, Yanlin ; Yang, Yang |
Subject: | long memory | structural change | GARCH | A-HYEGARCH | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Theorie | Theory | Strukturwandel | Structural change | Börsenkurs | Share price | ARMA-Modell | ARMA model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6020026 [DOI] hdl:10419/195818 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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