Guégan, Dominique - School of Economics and Management, University of Aarhus - 2009
. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory …-stationarity inside samples like
the "spurious" long memory effect, we build a sequence of station-
ary processes permitting to define the …-Stationarity - Copula - Long-memory - Switching
- Cumulants - Estimation. theory.
JEL classification: C32, C51, G12
1 Introduction
During …