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~person:"Robinson, Peter M."
~subject:"ARCH processes"
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ARCH processes
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Robinson, Peter M.
GIRAITIS, Liudas
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Giraitis, Liudas
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KOKOSZKA, Piotr
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LEIPUS, Remigijus
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A model for long
memory
conditional heteroscedasticity
Giraitis, Liudas
;
Robinson, Peter M.
;
Surgailis, Donatas
-
London School of Economics (LSE)
-
2000
integers 1 > 2, r' has long
memory
autocorrelation and normalized partial sums of ri converge to fractional Brownian motion. …
Persistent link: https://www.econbiz.de/10011071148
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