Long memory, spurious memory: persistence in range-based volatility of exchange rates (Q6138864)
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scientific article; zbMATH DE number 7789613
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| English | Long memory, spurious memory: persistence in range-based volatility of exchange rates |
scientific article; zbMATH DE number 7789613 |
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Long memory, spurious memory: persistence in range-based volatility of exchange rates (English)
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16 January 2024
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exchange rate
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volatility
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fractional integration
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long memory
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level shifts
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structural breaks
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