Modelling exchange rates volatility with multivariate long-memory ARCH processes
Year of publication: |
1999
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Authors: | Teyssière, Gilles |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | heteroskedasticity | Long-memory processes | multivariate long-memory ARCH models | multivariate FIGARCH models |
Series: | SFB 373 Discussion Paper ; 1999,5 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 722162154 [GVK] hdl:10419/61735 [Handle] RePEc:zbw:sfb373:19995 [RePEc] |
Classification: | C32 - Time-Series Models ; G00 - Financial Economics. General |
Source: |
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