Modelling squared returns using a SETAR model with long-memory dynamics
| Year of publication: |
2005
|
|---|---|
| Authors: | Dufrenot, Gilles ; Guegan, Dominique ; Peguin-Feissolle, Anne |
| Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 86.2005, 2, p. 237-243
|
| Publisher: |
Elsevier |