Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
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Publication:3160947
DOI10.1198/jbes.2009.06171zbMath1197.91202OpenAlexW2042536367MaRDI QIDQ3160947
Publication date: 11 October 2010
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2009.06171
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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