Long memory, spurious memory: persistence in range-based volatility of exchange rates
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Publication:6138864
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Cites work
- A multivariate test against spurious long memory
- A test against spurious long memory
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Fractional differencing
- Gaussian semiparametric estimation of long range dependence
- Long memory and regime switching
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- Predicting daily highs and lows of exchange rates: a cointegration analysis
- Retail sales: persistence in the short-term and long-term dynamics
- Testing for a unit root in time series regression
- Testing for structural change in regression quantiles
- The economic value of volatility timing using a range-based volatility model
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