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  • Search: subject:"econometrics of high-frequency financial data"
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Year of publication
Subject
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conditional heteroscedasticity 2 econometrics of high-frequency financial data 2 long-memory 2 weak stationarity 2 Business and Economics 1
Online availability
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Free 2
Type of publication
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Book / Working Paper 1 Other 1
Language
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English 2
Author
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Koulikov, Dmitri 2
Institution
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William Davidson Institute, University of Michigan 1
Published in...
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William Davidson Institute Working Papers Series 1
Source
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BASE 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables
Koulikov, Dmitri - 2002
In this paper we introduce a new class of covariance stationary long-memory models on the positive half-line. The overall structure of the models is related to that of GARCH processes of Engle (1982) and Bollerslev (1986), whereby sequence of random variables of interest have multiplicative...
Persistent link: https://www.econbiz.de/10009477515
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Cover Image
Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables
Koulikov, Dmitri - William Davidson Institute, University of Michigan - 2002
In this paper we introduce a new class of covariance stationary long-memory models on the positive half-line. The overall structure of the models is related to that of GARCH processes of Engle (1982) and Bollerslev (1986), whereby sequence of random variables of interest have multiplicative...
Persistent link: https://www.econbiz.de/10005652553
Saved in:
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