Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
From MaRDI portal
Publication:2270553
DOI10.1016/j.jedc.2009.02.009zbMath1170.91483MaRDI QIDQ2270553
Claudio Morana, Richard T. Baillie
Publication date: 28 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2009.02.009
91B70: Stochastic models in economics
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