Long memory and nonlinearities in realized volatility: a Markov switching approach
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Publication:1927150
DOI10.1016/j.csda.2010.12.008zbMath1255.62321MaRDI QIDQ1927150
Davide Raggi, Silvano Bordignon
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://amsacta.unibo.it/4547/1/694.pdf
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C40: Numerical analysis or methods applied to Markov chains
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