Modelling exchange rates volatility with multivariate long-memory ARCH processes
Year of publication: |
1999
|
---|---|
Authors: | Teyssière, Gilles |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | heteroskedasticity | Long-memory processes | multivariate long-memory ARCH models | multivariate FIGARCH models |
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