Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

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Publication:4554429

DOI10.1080/14697688.2017.1329591zbMath1406.62151OpenAlexW3125360608MaRDI QIDQ4554429

Pierre Perron, Rasmus T. Varneskov

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/2144/26709




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