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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
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An agent-based model of corporate bond trading
Braun-Munzinger, K.
;
Liu, Zijun
;
Turrell, Arthur Edward
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 591-608
Persistent link: https://www.econbiz.de/10011906441
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3
Systemic illiquidity in the interbank network
Ferrara, Gerardo
;
Langfield, Sam
;
Liu, Zijun
;
Ota, Tomohiro
- In:
Quantitative finance
19
(
2019
)
11
,
pp. 1779-1795
Persistent link: https://www.econbiz.de/10012194827
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